ChainLadder-package {ChainLadder} | R Documentation |
The ChainLadder-package grew out of presentations the author gave at the Stochastic Reserving Seminar at the Institute of Actuaries in November 2007 and 2008. This package has currently implementations for the Mack-, Munich- and Bootstrap-chain-ladder methods.
The ChainLadder-package comes with an example spreadsheet which
demonstrates how to use how to use the ChainLadder
functions in Excel. The spreadsheet is located in the Excel folder of
the package. The R command searchpaths()[grep('ChainLadder',
searchpaths())]
will tell you the exact path to the directory.
For the the spreadsheet you will need the RExcel-Addin, see
http://sunsite.univie.ac.at/rcom/ for more details.
More information and various presentations given on the ChainLadder-package are available on the project web site http://code.google.com/p/chainladder/
If you are also interested in loss distributions modeling, risk theory (including ruin theory),
simulation of compound hierarchical models and credibility theory check out the actuar
package
by C. Dutang, V. Goulet and M. Pigeon.
Package: | ChainLadder |
Type: | Package |
Version: | 0.1.2 |
Date: | 2008-10-12 |
License: | GPL version 2 or later |
Markus Gesmann
Maintainer: Markus Gesmann <markus.gesmann@gmail.com>
Thomas Mack. Distribution-free calculation of the standard error of chain ladder reserve estimates. Astin Bulletin. Vol. 23. No 2. 1993. pp.213:225
Thomas Mack. The standard error of chain ladder reserve estimates: Recursive calculation and inclusion of a tail factor. Astin Bulletin. Vol. 29. No 2. 1999. pp.361:366
Gerhard Quarg and Thomas Mack. Munich Chain Ladder. Blatter DGVFM 26. Munich. 2004.
England, PD and Verrall, RJ. Stochastic Claims Reserving in General Insurance (with discussion). British Actuarial Journal 8. III. 2002
B. Zehnwirth and G. Barnett. Best Estimates for Reserves. Proceedings of the CAS. Volume LXXXVII. Number 167.November 2000.
RAA MCL=MackChainLadder(RAA) MCL plot(MCL) # BootChainLadder B <- BootChainLadder(RAA, R=999, process.distr="gamma") B plot(B) # fitdistribution library(MASS) # fit a log-normal distribution fit <- fitdistr(B$IBNR.Totals, "lognormal") fit plot(ecdf(B$IBNR.Totals)) curve(plnorm(x,fit$estimate["meanlog"], fit$estimate["sdlog"]), col="red", add=TRUE) # Munich Chain Ladder MCLpaid MCLincurred MCL = MunichChainLadder(MCLpaid, MCLincurred) MCL plot(MCL)