ChainLadder (version 0.2.15)

LRfunction: Calculate the Link Ratio Function

Description

This calculates the link ratio function per the CLFM paper.

Usage

LRfunction(x, y, delta)

Value

A vector of link ratios.

Arguments

x

beginning value of loss during a development period

y

ending value of loss during a development period

delta

numeric

Author

Dan Murphy

Details

Calculated the link ratios resulting from a chainladder model over a development period indexed by (possibly vector valued) real number delta. See formula (5) in the References.

References

Bardis, Majidi, Murphy. A Family of Chain-Ladder Factor Models for Selected Link Ratios. Variance. Pending. 2013. pp.tbd:tbd

Examples

x <- RAA[1:9,1]
y <- RAA[1:9,2]
delta <- seq(-2, 2, by = .1)
plot(delta, LRfunction(x, y, delta), type = "l")