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DCL (version 0.1.2)

Claims Reserving under the Double Chain Ladder Model

Description

Statistical modelling and forecasting in claims reserving in non-life insurance under the Double Chain Ladder framework by Martinez-Miranda, Nielsen and Verrall (2012).

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Version

Install

install.packages('DCL')

Monthly Downloads

191

Version

0.1.2

License

GPL-2

Maintainer

Maria Dolores MartinezMiranda

Last Published

May 5th, 2022

Functions in DCL (0.1.2)

XtriangleDCL

Paid data (DCL example)
XtrianglePrior

Paid data (adding prior knowledge example)
clm

Classical Chain Ladder Method
bdcl.estimation

Parameter estimation - DCL model using the BDCL method
get.cumulative

Cumulative triangle
get.incremental

Incremental triangle
dcl.estimation

Parameter estimation - Double Chain Ladder model
dcl.predict

Pointwise predictions (RBNS/IBNR split)
XtriangleBDCL

Paid data (BDCL example)
NtriangleDCL

Number of reported claims (DCL example)
dcl.boot.prior

Bootstrap distribution (the full cashflow) adding prior knowledge
Plot.triangle

Plotting an incremental run-off triangle
idcl.estimation

Parameter estimation - DCL model reproducing the incurred reserve.
dcl.boot

Bootstrap distribution: the full cashflow
dcl.predict.prior

Pointwise predictions (RBNS/IBNR split) adding prior knowledge
extract.prior

Extracting information about zero-claims and severity inflation
validating.incurred

Back-test: testing against the experience
NtriangleBDCL

Number of reported claims (BDCL example)
DCL-package

Claims Reserving under the Double Chain Ladder Model
Plot.cashflow

Plotting the full cashflow (bootstrap distribution)
Aggregate

Switch to a higher level of aggregation
NtrianglePrior

Number of reported claims (adding prior knowledge example)
Plot.clm.par

Plotting the estimated chain ladder parameters
Plot.dcl.par

Plotting the estimated parameters in the DCL model
NpaidPrior

Number of non-zero payments (adding prior knowledge example)
ItriangleBDCL

Incurred data (BDCL example)