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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
Version
0.1.2
0.1.0
Install
install.packages('DCL')
Monthly Downloads
198
Version
0.1.2
License
GPL-2
Maintainer
Maria Dolores MartinezMiranda
Last Published
May 5th, 2022
Functions in DCL (0.1.2)
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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)