Stochastic reserving with R: ChainLadder 0.1.51 released
Today we published version 0.1.51 of theChainLadder
package for R. It provides methods which are typically used in insurance claims reserving to forecast future claims payments.Claims development and chainladder forecast of the RAA data set using the Mack method 
Initially the package came with implementations of the Mack, Munich and Bootstrap ChainLadder methods. Since version 0.1.33 it also provides general multivariate chain ladder models by Wayne Zhang. Version 0.1.40 introduced new functions on loss development factor fitting and Cape Cod by Daniel Murphy following a paper by David Clark. Version 0.1.50 has added loss reserving models within the generalized linear model framework following a paper by England P. and Verrall R. (1999) implemented by Wayne Zhang.
For more details see the project web site: http://code.google.com/p/chainladder/ and an early blog entry about R in the insurance industry.
Changes in version 0.1.51:
 Internal changes to
plot.MackChainLadder
to pass new checks introduced by R 2.14.0.
 Commented out unnecessary creation of 'io' matrix in
ClarkCapeCod
function. Allows for analysis of very large matrices forCapeCod
without running out of RAM. 'io' matrix is an integral part ofClarkLDF
, and so remains in that function.

plot.clark
method
 Removed "conclusion" stated in
QQplot
of clark methods.
 Restore 'par' settings upon exit
 Slight change to the title
 Removed "conclusion" stated in
 Reduced the minimum 'theta' boundary for weibull growth function
 Added warnings to
as.triangle
if origin or dev. period are not numeric
Here is a little example using the googleVis package to display the RAA claims development triangle:
library(ChainLadder) library(googleVis) data(RAA) # example data set of the ChainLadder package class(RAA) < "matrix" # change the class from triangle to matrix df < as.data.frame(t(RAA)) # coerce triangle into a data.frame names(df) < 1981 : 1990 df$dev < 1:10 plot(gvisLineChart(df, "dev", options=list(gvis.editor="Edit me!", hAxis.title="dev. period")))
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First of all, I'd like to thank you for such a useful blog. It is highly interesting. Secondly, about the post, you missed one line of R code here. You didn't specify from where RAA was initialized. Could you include that line please?
ReplyDeleteThanks!
Thanks for your comment.
ReplyDeleteI have added the following statement above:
data(RAA)
Although it shouldn't be necessary, as the data is automatically loaded with the ChainLadder package.