Package: ChainLadder 0.2.20

Markus Gesmann

ChainLadder: Statistical Methods and Models for Claims Reserving in General Insurance

Various statistical methods and models which are typically used for the estimation of outstanding claims reserves in general insurance, including those to estimate the claims development result as required under Solvency II.

Authors:Markus Gesmann [aut, cre], Daniel Murphy [aut], Yanwei Zhang [aut], Alessandro Carrato [aut], Giuseppe Crupi [ctb], Christophe Dutang [ctb], Arnaud Lacoume [ctb], Arthur Charpentier [ctb], Mario Wuthrich [aut], Fabio Concina [aut], Eric Dal Moro [aut], Yuriy Krvavych [ctb], Vincent Goulet [ctb], Marco De Virgilis [ctb], Marco Spina [ctb]

ChainLadder_0.2.20.tar.gz
ChainLadder_0.2.20.zip(r-4.5)ChainLadder_0.2.20.zip(r-4.4)ChainLadder_0.2.20.zip(r-4.3)
ChainLadder_0.2.20.tgz(r-4.4-any)ChainLadder_0.2.20.tgz(r-4.3-any)
ChainLadder_0.2.20.tar.gz(r-4.5-noble)ChainLadder_0.2.20.tar.gz(r-4.4-noble)
ChainLadder_0.2.20.tgz(r-4.4-emscripten)ChainLadder_0.2.20.tgz(r-4.3-emscripten)
ChainLadder.pdf |ChainLadder.html✨
ChainLadder/json (API)
NEWS

# Install 'ChainLadder' in R:
install.packages('ChainLadder', repos = c('https://mages.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/mages/chainladder/issues

Datasets:
  • ABC - Run off triangle of accumulated claims data
  • AutoBI - Run off triangles of accumulated claim data
  • GenIns - Run off triangle of claims data.
  • GenInsLong - Run off triangle of claims data.
  • M3IR5 - Run off triangle of claims data
  • MCLincurred - Run off triangles of accumulated paid and incurred claims data.
  • MCLpaid - Run off triangles of accumulated paid and incurred claims data.
  • MW2008 - Run-off claims triangle
  • MW2014 - Run-off claims triangle
  • MedMal - Run off triangles of accumulated claim data
  • Mortgage - Run off triangle of accumulated claims data
  • RAA - Run off triangle of accumulated claims data
  • UKMotor - UK motor claims triangle
  • USAAincurred - Example paid and incurred triangle data from CAS web site.
  • USAApaid - Example paid and incurred triangle data from CAS web site.
  • auto - Run off triangle of accumulated claim data
  • liab - Run off triangle of accumulated claim data
  • qincurred - Quarterly run off triangle of accumulated claims data
  • qpaid - Quarterly run off triangle of accumulated claims data

On CRAN:

9.70 score 76 stars 2 packages 192 scripts 4.8k downloads 48 exports 74 dependencies

Last updated 4 months agofrom:6f9e65a8c6. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 01 2024
R-4.5-winOKNov 01 2024
R-4.5-linuxOKNov 01 2024
R-4.4-winOKNov 01 2024
R-4.4-macOKNov 01 2024
R-4.3-winOKNov 01 2024
R-4.3-macOKNov 01 2024

Exports:as.LongTriangleas.triangleataBootChainLadderBS.paid.adjcbind2CDRchainladdercheckTriangleInflationClarkCapeCodClarkLDFCLFMdeltacoefcoercecum2incrcyEffTestdfCorTestfittedgetLatestCumulativeglmReserveincr2cuminflateTriangleJoin2FitsJoinFitMseLRfunctionMackChainLadderMseMultiChainLadderMultiChainLadder2MunichChainLadderPaidIncurredChainplotpredictQuantileIFRS17rbind2residresidCorresidCovresidualsrstandardshowsummaryTable64Table65Table68triangletweedieReservevcov

Dependencies:abindactuarbackportsbiglmbootbroomcarcarDataclicodacolorspacecowplotcplmcpp11DBIDerivdoBydplyrexpintfansifarverFormulagenericsggplot2gluegtableisobandlabelinglatticelifecyclelme4lmtestmagrittrMASSMatrixMatrixModelsmgcvmicrobenchmarkminqamodelrmunsellnlmenloptrnnetnumDerivpbkrtestpillarpkgconfigplyrpurrrquantregR6RColorBrewerRcppRcppEigenreshape2rlangsandwichscalesSparseMstatmodstringistringrsurvivalsystemfittibbletidyrtidyselecttweedieutf8vctrsviridisLitewithrzoo

ChainLadder: Claims reserving with R

Alessandro Carrato, Fabio Concina, Markus Gesmann, Dan Murphy, Mario Wüthrich and Wayne Zhang

Rendered fromChainLadder.Rmdusingknitr::rmarkdownon Nov 01 2024.

Last update: 2024-07-21
Started: 2020-12-14

Readme and manuals

Help Manual

Help pageTopics
Methods and Models for Claims ReservingChainLadder-package ChainLadder
Run off triangle of accumulated claims dataABC
Convert Triangle from wide to longas.LongTriangle
Calculate Age-to-Age Factorsata
Run off triangle of accumulated claim dataauto
Run off triangles of accumulated claim dataAutoBI
Bootstrap-Chain-Ladder ModelBootChainLadder
Berquist-Sherman Paid Claim Development AdjustmentBS.paid.adj
One year claims development resultCDR CDR.BootChainLadder CDR.default CDR.MackChainLadder
Estimate age-to-age factorschainladder
Check Y-o-Y Triangle Inflation RatescheckTriangleInflation
Clark Cape Cod methodClarkCapeCod
Clark LDF methodClarkLDF
Find "selection consistent" values of deltaCLFMdelta
Extract residuals of a ChainLadder modelcoef.ChainLadder
Cumulative and incremental trianglescum2incr incr2cum
Testing for Calendar Year EffectcyEffTest
Testing for Correlations between Subsequent Development FactorsdfCorTest
Run off triangle of claims data.GenIns GenInsLong
Triangle information for most recent calendar period.getLatestCumulative
GLM-based Reserving ModelglmReserve plot.glmReserve print.glmReserve resid.glmReserve summary.glmReserve
Inflate a Triangle based on an Inflation RateinflateTriangle
Join Two Fitted MultiChainLadder ModelsJoin2Fits
Join Model Fit and Mse EstimationJoinFitMse
Run off triangle of accumulated claim dataliab
Calculate the Link Ratio FunctionLRfunction
Run off triangle of claims dataM3IR5
Mack Chain-Ladder ModelMackChainLadder
Run off triangles of accumulated paid and incurred claims data.MCLincurred MCLpaid
Run off triangles of accumulated claim dataMedMal
Run off triangle of accumulated claims dataMortgage
Methods for Generic Function MseMse Mse,GMCLFit,triangles-method Mse,MCLFit,triangles-method Mse-methods
Multivariate Chain-Ladder ModelsMultiChainLadder MultiChainLadder2
Class "MultiChainLadder" of Multivariate Chain-Ladder Results$,MultiChainLadder-method coef,MultiChainLadder-method fitted,MultiChainLadder-method MultiChainLadder-class names,MultiChainLadder-method resid,MultiChainLadder-method residuals,MultiChainLadder-method rstandard,MultiChainLadder-method show,MultiChainLadder-method vcov,MultiChainLadder-method [[,MultiChainLadder,character,missing-method [[,MultiChainLadder,numeric,missing-method
Class "MultiChainLadderFit", "MCLFit" and "GMCLFit"GMCLFit-class MCLFit-class MultiChainLadderFit-class predict,GMCLFit-method predict,MCLFit-method
Class "MultiChainLadderMse"MultiChainLadderMse-class
Class "MultiChainLadderSummary"$,MultiChainLadderSummary-method MultiChainLadderSummary-class names,MultiChainLadderSummary-method show,MultiChainLadderSummary-method [[,MultiChainLadderSummary,character,missing-method [[,MultiChainLadderSummary,numeric,missing-method
Munich-chain-ladder ModelMunichChainLadder
Run-off claims triangleMW2008
Run-off claims triangleMW2014
Class "NullNum", "NullChar" and "NullList"NullChar-class NullList-class NullNum-class
PaidIncurredChainPaidIncurredChain
Methods for Function plotplot,MultiChainLadder,missing-method plot-methods
Plot method for a BootChainLadder objectplot.BootChainLadder
Plot method for a checkTriangleInflation objectplot.checkTriangleInflation
Plot Clark method residualsplot.clark
Plot method for a cyEffTest objectplot.cyEffTest
Plot method for a dfCorTest objectplot.dfCorTest
Plot method for a MackChainLadder objectplot.MackChainLadder
Plot method for a MunichChainLadder objectplot.MunichChainLadder
Prediction of a claims trianglepredict.ChainLadder predict.TriangleModel
Print Age-to-Age factorsprint.ata
Print function for a checkTriangleInflation objectprint.checkTriangleInflation
Print results of Clark methodsprint.clark print.ClarkCapeCod print.ClarkLDF
Print function for a cyEffTest objectprint.cyEffTest
Print function for a dfCorTest objectprint.dfCorTest
Quarterly run off triangle of accumulated claims dataqincurred qpaid
quantile function for Mack-chain-ladderquantile.MackChainLadder
Quantile estimation for the IFRS 17 Risk AdjustmentQuantileIFRS17
Run off triangle of accumulated claims dataRAA
Generic function for residCov and residCorresidCor residCor,MultiChainLadder-method residCor-methods residCov residCov,MultiChainLadder-method residCov-methods
Extract residuals of a MackChainLadder modelresiduals.MackChainLadder
Methods for Function summarysummary,MultiChainLadder-method summary-methods
Summary method for object of class 'ata'summary.ata
Methods for BootChainLadder objectsmean.BootChainLadder print.BootChainLadder quantile.BootChainLadder residuals.BootChainLadder summary.BootChainLadder
Summary function for a checkTriangleInflation objectsummary.checkTriangleInflation
Summary methods for Clark objectssummary.ClarkCapeCod summary.ClarkLDF
Summary function for a cyEffTest objectsummary.cyEffTest
Summary function for a dfCorTest objectsummary.dfCorTest
Summary and print function for Mack-chain-ladderprint.MackChainLadder summary.MackChainLadder
Summary and print function for Munich-chain-ladderprint.MunichChainLadder summary.MunichChainLadder
Functions to Reproduce Clark's TablesTable64 Table65 Table68
Generic functions for trianglesas.data.frame.triangle as.triangle as.triangle.data.frame as.triangle.matrix plot.triangle triangle
S4 Class "triangles"cbind2,triangles,missing-method coerce,list,triangles-method dim,triangles-method rbind2,triangles,missing-method triangles-class [,triangles,missing,numeric,logical-method [,triangles,missing,numeric,missing-method [,triangles,numeric,missing,logical-method [,triangles,numeric,missing,missing-method [,triangles,numeric,numeric,missing-method [<-,triangles,numeric,numeric,list-method
Tweedie Stochastic Reserving ModeltweedieReserve
Reserve Risk Capital Reportprint.tweedieReserve summary.tweedieReserve
UK motor claims triangleUKMotor
Example paid and incurred triangle data from CAS web site.USAAincurred USAApaid
Covariance Matrix of Parameter Estimates - Clark's methodsvcov.clark