Learn R Programming

ChainLadder

ChainLadder is an R package providing methods and models which are typically used in insurance claims reserving, including:

  • Mack chain-ladder, Munich chain-ladder and Bootstrap models
  • General multivariate chain ladder-models
  • Loss development factor fitting and Cape Cod models
  • Generalized linear models
  • One year claims development result functions
  • Utility functions to:
    • convert tables into triangles and triangles into tables
    • convert cumulative into incremental and incremental into cumulative triangles
    • visualise triangles

For a Python claims reserving package visit chainladder-python.

Installation

You can install the stable version from CRAN:

install.packages('ChainLadder', dependencies = TRUE)

You can also install the package via the Github repository:

# install.package("remotes") # In case you have not installed it.
remotes::install_github("mages/ChainLadder", dependencies = TRUE)

Get started

library(ChainLadder)
?ChainLadder
demo(ChainLadder)

See the ChainLadder package vignette for more details.

Citation

To cite package 'ChainLadder' in publications see the output of:

citation(package="ChainLadder")

See also:

Markus Gesmann. Claims Reserving and IBNR. Computational Actuarial Science with R. 2014. Chapman and Hall/CRC

License

This package is free and open source software, licensed under GPL.

ChainLadder documentation is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Copy Link

Version

Install

install.packages('ChainLadder')

Monthly Downloads

4,849

Version

0.2.19

License

GPL (>= 2)

Maintainer

Markus Gesmann

Last Published

July 21st, 2024

Functions in ChainLadder (0.2.19)

ChainLadder-package

Methods and Models for Claims Reserving
ABC

Run off triangle of accumulated claims data
MW2014

Run-off claims triangle
MackChainLadder

Mack Chain-Ladder Model
ClarkCapeCod

Clark Cape Cod method
AutoBI

Run off triangles of accumulated claim data
MedMal

Run off triangles of accumulated claim data
Mortgage

Run off triangle of accumulated claims data
PaidIncurredChain

PaidIncurredChain
QuantileIFRS17

Quantile estimation for the IFRS 17 Risk Adjustment
CLFMdelta

Find "selection consistent" values of delta
Join2Fits

Join Two Fitted MultiChainLadder Models
MCLpaid

Run off triangles of accumulated paid and incurred claims data.
BootChainLadder

Bootstrap-Chain-Ladder Model
MW2008

Run-off claims triangle
MultiChainLadderSummary-class

Class "MultiChainLadderSummary"
MultiChainLadderMse-class

Class "MultiChainLadderMse"
triangle S3 Methods

Generic functions for triangles
MultiChainLadder

Multivariate Chain-Ladder Models
JoinFitMse

Join Model Fit and Mse Estimation
plot.BootChainLadder

Plot method for a BootChainLadder object
print.ata

Print Age-to-Age factors
plot.MackChainLadder

Plot method for a MackChainLadder object
MultiChainLadderFit-class

Class "MultiChainLadderFit", "MCLFit" and "GMCLFit"
Mse-methods

Methods for Generic Function Mse
MultiChainLadder-class

Class "MultiChainLadder" of Multivariate Chain-Ladder Results
LRfunction

Calculate the Link Ratio Function
print.checkTriangleInflation

Print function for a checkTriangleInflation object
UKMotor

UK motor claims triangle
USAA triangle

Example paid and incurred triangle data from CAS web site.
M3IR5

Run off triangle of claims data
summary.BootChainLadder

Methods for BootChainLadder objects
as.LongTriangle

Convert Triangle from wide to long
RAA

Run off triangle of accumulated claims data
liab

Run off triangle of accumulated claim data
Table65

Functions to Reproduce Clark's Tables
coef.ChainLadder

Extract residuals of a ChainLadder model
glmReserve

GLM-based Reserving Model
cyEffTest

Testing for Calendar Year Effect
ata

Calculate Age-to-Age Factors
summary.MackChainLadder

Summary and print function for Mack-chain-ladder
summary.cyEffTest

Summary function for a cyEffTest object
inflateTriangle

Inflate a Triangle based on an Inflation Rate
plot-MultiChainLadder

Methods for Function plot
summary.dfCorTest

Summary function for a dfCorTest object
auto

Run off triangle of accumulated claim data
print.clark

Print results of Clark methods
plot.MunichChainLadder

Plot method for a MunichChainLadder object
plot.checkTriangleInflation

Plot method for a checkTriangleInflation object
plot.clark

Plot Clark method residuals
MunichChainLadder

Munich-chain-ladder Model
residuals.MackChainLadder

Extract residuals of a MackChainLadder model
NullNum-class

Class "NullNum", "NullChar" and "NullList"
chainladder

Estimate age-to-age factors
summary-methods

Methods for Function summary
plot.cyEffTest

Plot method for a cyEffTest object
print.cyEffTest

Print function for a cyEffTest object
checkTriangleInflation

Check Y-o-Y Triangle Inflation Rates
summary.MunichChainLadder

Summary and print function for Munich-chain-ladder
summary.ata

Summary method for object of class 'ata'
summary.checkTriangleInflation

Summary function for a checkTriangleInflation object
summary.clark

Summary methods for Clark objects
vcov.clark

Covariance Matrix of Parameter Estimates -- Clark's methods
print.dfCorTest

Print function for a dfCorTest object
dfCorTest

Testing for Correlations between Subsequent Development Factors
getLatestCumulative

Triangle information for most recent calendar period.
qpaid

Quarterly run off triangle of accumulated claims data
plot.dfCorTest

Plot method for a dfCorTest object
predict.TriangleModel

Prediction of a claims triangle
quantile.MackChainLadder

quantile function for Mack-chain-ladder
triangles-class

S4 Class "triangles"
residCov

Generic function for residCov and residCor
tweedieReserve

Tweedie Stochastic Reserving Model
Cumulative and incremental triangles

Cumulative and incremental triangles
tweedieReserve methods

Reserve Risk Capital Report
BS.paid.adj

Berquist-Sherman Paid Claim Development Adjustment
GenIns

Run off triangle of claims data.
ClarkLDF

Clark LDF method
CDR

One year claims development result