ChainLadder 0.2.0 adds Solvency II CDR functionsChainLadder is an R package that provides statistical methods and models for claims reserving in general insurance.
With version 0.2.0 we added new functions to estimate the claims development result (CDR) as required under Solvency II. Special thanks to Alessandro Carrato, Giuseppe Crupi and Mario Wüthrich who have contributed code and documentation.
- New generic function
CDRto estimate the one year claims development result. S3 methods for the Mack and bootstrap model have been added already:
- New function
tweedieReserveto estimate reserves in a GLM framework, including the one year claims development result.
- Package vignette has a new chapter on One Year Claims Development Result
- New example data
MW2014form the Merz & Wüthrich (2008, 2014) papers
- Source code development moved from Google Code to GitHub
as.data.frame.trianglenow gives warning message when dev. period is a character.
- Alessandro Carrato, Giuseppe Crupi and Mario Wüthrich have been added as authors, thanks to their major contribution to code and documentation.
- Christophe Dutang, Arnaud Lacoume and Arthur Charpentier have been added as contributors, thanks to their feedback, guidance and code contribution.
ExamplesThe examples below use the triangle of the 2008 Merz & Wüthrich paper and illustrate how the one year claims development result can be estimated using the new
CDRfunction for output of
BootChainLadder. Also the
tweedieReservefunction is demonstrated, which can estimate the one year CDR as well, by setting the argument
For further details see package vignette and the help pages of the respective functions.
ReferencesMichael Merz and Mario V. Wüthrich. Modelling the claims development result for solvency purposes. CAS E-Forum, Fall:542–568, 2008
Michael Merz and Mario V. Wüthrich. Claims run-off uncertainty: the full picture. SSRN Manuscript, 2524352, 2014.
R version 3.1.3 (2015-03-09) Platform: x86_64-apple-darwin13.4.0 (64-bit) Running under: OS X 10.10.2 (Yosemite) locale:  en_GB.UTF-8/en_GB.UTF-8/en_GB.UTF-8/C/en_GB.UTF-8/en_GB.UTF-8 attached base packages:  stats graphics grDevices utils datasets methods base other attached packages:  ChainLadder_0.2.0 statmod_1.4.20 systemfit_1.1-14 lmtest_0.9-33  zoo_1.7-12 car_2.0-25 Matrix_1.1-5 loaded via a namespace (and not attached):  acepack_1.3-3.3 actuar_1.1-8 cluster_2.0.1  colorspace_1.2-6 digest_0.6.8 foreign_0.8-63  Formula_1.2-0 ggplot2_1.0.0 grid_3.1.3  gtable_0.1.2 Hmisc_3.15-0 lattice_0.20-30  latticeExtra_0.6-26 lme4_1.1-7 MASS_7.3-39  mgcv_1.8-5 minqa_1.2.4 munsell_0.4.2  nlme_3.1-120 nloptr_1.0.4 nnet_7.3-9  parallel_3.1.3 pbkrtest_0.4-2 plyr_1.8.1  proto_0.3-10 quantreg_5.11 RColorBrewer_1.1-2  Rcpp_0.11.5 reshape2_1.4.1 rpart_4.1-9  sandwich_2.3-2 scales_0.2.4 SparseM_1.6  splines_3.1.3 stringr_0.6.2 survival_2.38-1  tools_3.1.3 tweedie_2.2.1