ChainLadder (version 0.2.15)

Cumulative and incremental triangles: Cumulative and incremental triangles

Description

Functions to convert between cumulative and incremental triangles

Usage

incr2cum(Triangle, na.rm=FALSE)
cum2incr(Triangle)

Value

Both functions return a triangle.

Arguments

Triangle

triangle. Assume columns are the development period, use transpose otherwise.

na.rm

logical. Should missing values be removed?

Author

Markus Gesmann, Christophe Dutang

Details

incr2cum transforms an incremental triangle into a cumulative triangle, cum2incr provides the reserve operation.

See Also

See also as.triangle

Examples

# 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)