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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

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.

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Version

Install

install.packages('ChainLadder')

Monthly Downloads

4,849

Version

0.2.15

License

GPL (>= 2)

Issues

Pull Requests

Stars

Forks

Repository

https://github.com/mages/ChainLadder

Homepage

https://mages.github.io/ChainLadder/

Maintainer

Last Published

January 9th, 2022

Functions in ChainLadder (0.2.15)

Run off triangles of accumulated claim data

Berquist-Sherman Paid Claim Development Adjustment

Run off triangle of claims data.

One year claims development result

BootChainLadder

Bootstrap-Chain-Ladder Model

ChainLadder-package

Methods and Models for Claims Reserving

Run off triangle of accumulated claims data

Calculate the Link Ratio Function

Clark Cape Cod method

Clark LDF method

Run off triangles of accumulated claim data

MunichChainLadder

Munich-chain-ladder Model

MultiChainLadderMse-class

Class "MultiChainLadderMse"

Run off triangle of accumulated claims data

Run off triangle of claims data

MultiChainLadderSummary-class

Class "MultiChainLadderSummary"

PaidIncurredChain

PaidIncurredChain

Quantile estimation for the IFRS 17 Risk Adjustment

Run-off claims triangle

Run off triangles of accumulated paid and incurred claims data.

UK motor claims triangle

triangle S3 Methods

Generic functions for triangles

Run off triangle of accumulated claims data

MultiChainLadder

Multivariate Chain-Ladder Models

Join Two Fitted MultiChainLadder Models

as.LongTriangle

Convert Triangle from wide to long

Example paid and incurred triangle data from CAS web site.

Find "selection consistent" values of delta

Join Model Fit and Mse Estimation

plot-MultiChainLadder

Methods for Function plot

plot.checkTriangleInflation

Plot method for a checkTriangleInflation object

Generic function for residCov and residCor

plot.MunichChainLadder

Plot method for a MunichChainLadder object

Run off triangle of accumulated claim data

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

quantile.MackChainLadder

quantile function for Mack-chain-ladder

Run-off claims triangle

getLatestCumulative

Triangle information for most recent calendar period.

Testing for Correlations between Subsequent Development Factors

Functions to Reproduce Clark's Tables

Calculate Age-to-Age Factors

triangles-class

S4 Class "triangles"

Print Age-to-Age factors

Summary method for object of class 'ata'

tweedieReserve methods

Reserve Risk Capital Report

summary.MunichChainLadder

Summary and print function for Munich-chain-ladder

print.checkTriangleInflation

Print function for a checkTriangleInflation object

MultiChainLadderFit-class

Class "MultiChainLadderFit", "MCLFit" and "GMCLFit"

Run off triangle of accumulated claim data

summary.dfCorTest

Summary function for a dfCorTest object

summary.cyEffTest

Summary function for a cyEffTest object

Testing for Calendar Year Effect

coef.ChainLadder

Extract residuals of a ChainLadder model

Print results of Clark methods

plot.BootChainLadder

Plot method for a BootChainLadder object

plot.MackChainLadder

Plot method for a MackChainLadder object

MackChainLadder

Mack Chain-Ladder Model

Plot Clark method residuals

residuals.MackChainLadder

Extract residuals of a MackChainLadder model

Plot method for a cyEffTest object

Quarterly run off triangle of accumulated claims data

Cumulative and incremental triangles

Cumulative and incremental triangles

print.cyEffTest

Print function for a cyEffTest object

Covariance Matrix of Parameter Estimates -- Clark's methods

print.dfCorTest

Print function for a dfCorTest object

Tweedie Stochastic Reserving Model

summary-methods

Methods for Function summary

MultiChainLadder-class

Class "MultiChainLadder" of Multivariate Chain-Ladder Results

Estimate age-to-age factors

Methods for Generic Function Mse

checkTriangleInflation

Check Y-o-Y Triangle Inflation Rates

inflateTriangle

Inflate a Triangle based on an Inflation Rate

GLM-based Reserving Model

Plot method for a dfCorTest object

predict.TriangleModel

Prediction of a claims triangle

summary.MackChainLadder

Summary and print function for Mack-chain-ladder

summary.BootChainLadder

Methods for BootChainLadder objects

summary.checkTriangleInflation

Summary function for a checkTriangleInflation object

Summary methods for Clark objects