Statistical Methods and Models for Claims Reserving in General Insurance

Various statistical methods and models which are typically used for the estimation of outstanding claims reserves in general insurance, including those to estimate the claims development result as required under Solvency II.


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

You can install the stable version from CRAN:

install.packages('ChainLadder', dependencies = TRUE)

To install the current development version from github you need the devtools package and the other packages on which ChainLadder depends and links to:

install.packages(c("actuar", "cplm", "grid", "ggplot2", "knitr", "lattice", "Matrix", "MASS", "reshape2", "rmarkdown", "RUnit", "systemfit",  "statmod", "tweedie"))

To install ChainLadder run:

library(devtools)
install_github("mages/ChainLadder")
library(ChainLadder)
?ChainLadder
demo(ChainLadder)

See the ChainLadder package vignette for more details.

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

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.

News

See NEWS package vignette

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("ChainLadder")

0.2.5 by Markus Gesmann, a month ago


https://github.com/mages/ChainLadder#chainladder


Report a bug at https://github.com/mages/ChainLadder/issues


Browse source code at https://github.com/cran/ChainLadder


Authors: Markus Gesmann [aut, cre], Daniel Murphy [aut], Yanwei (Wayne) Zhang [aut], Alessandro Carrato [aut], Giuseppe Crupi [aut], Christophe Dutang [ctb], Arnaud Lacoume [ctb], Arthur Charpentier [ctb], Mario Wuthrich [aut], Fabio Concina [aut]


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL (>= 2) license


Imports Matrix, actuar, methods, stats, reshape2, lattice, grid, tweedie, utils, systemfit, statmod, cplm, ggplot2, MASS

Suggests RUnit, knitr, rmarkdown


Suggested by raw.


See at CRAN