Cumulative and incremental triangles {ChainLadder} | R Documentation |
Functions to convert between cumulative and incremental triangles
incr2cum(Triangle, na.rm=FALSE) cum2incr(Triangle)
Triangle |
triangle. Assume columns are the development period, use transpose otherwise. |
na.rm |
logical. Should missing values be removed? |
incr2cum
transforms an incremental triangle into a cumulative
triangle, cum2incr
provides the reserve operation.
Both functions return a triangle
.
Markus Gesmann, Christophe Dutang
See also as.triangle
# See the Taylor/Ashe example in Mack's 1993 paper #original triangle GenIns #incremental triangle cum2incr(GenIns) #original triangle incr2cum(cum2incr(GenIns)) # See the example in Mack's 1999 paper #original triangle Mortgage incMortgage <- cum2incr(Mortgage) #add missing values incMortgage[1,1] <- NA incMortgage[2,1] <- NA incMortgage[1,2] <- NA #with missing values argument incr2cum(incMortgage, na.rm=TRUE) #compared to incr2cum(Mortgage)