On 23 November Glenn Meyers gave a fascinating talk about The Bayesian Revolution in Stochastic Loss Reserving at the 10th Bayesian Mixer Meetup in London. Glenn worked for many years as a research actuary at Verisk/ ISO, he helped to set up the CAS Loss Reserve Database and published a monograph on Stochastic loss reserving using Bayesian MCMC models.
In this blog post I will go through the Correlated Log-normal Chain-Ladder Model from his presentation.
We released version 0.2.2 of ChainLadder a few weeks ago. This version adds back the functionality to estimate the index parameter for the compound Poisson model in glmReserve using the cplm package by Wayne Zhang. Ok, what does this all mean? I will run through a couple of examples and look behind the scene of glmReserve. However, the clue is in the title, glmReserve is a function that uses a generalised linear model to estimate future claims, assuming claims follow a Tweedie distribution.
Over the weekend we released version 0.2.1 of the ChainLadder package for claims reserving on CRAN. New FeaturesNew function PaidIncurredChain by Fabio Concina, based on the 2010 Merz & Wüthrich paper Paid-incurred chain claims reserving methodFunctions plot.MackChainLadder and plot.BootChainLadder gained new argument which, allowing users to specify which sub-plot to display. Thanks to Christophe Dutang for this suggestion.
Output of plot(MackChainLadder(MW2014, est.sigma=“Mack”), which=3:6)ChangesUpdated NAMESPACE file to comply with new R CMD checks in R-3.
ChainLadder 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 FeaturesNew generic function CDR to estimate the one year claims development result. S3 methods for the Mack and bootstrap model have been added already:
Taking the first step is often the hardest: getting data from Excel into R. Suppose you would like to use the ChainLadder package to forecast future claims payments for a run-off triangle that you have stored in Excel.
How do you get the triangle into R and execute a reserving function, such as MackChainLadder?
Well, there are many ways to do this and the ChainLadder package vignette, as well as the R manual on Data Import/Export has all of the details, but here is a quick and dirty solution using a CSV-file.
Over the weekend we released version 0.1.8 of the ChainLadder package for claims reserving on CRAN. What is claims reserving?The insurance industry, unlike other industries, does not sell products as such but promises. An insurance policy is a promise by the insurer to the policyholder to pay for future claims for an upfront received premium.
As a result insurers don’t know the upfront cost for their service, but rely on historical data analysis and judgement to predict a sustainable price for their offering.
Version 0.1.6 of the ChainLadder package has been released and is already available from CRAN.
The new version adds the function CLFMdelta. CLFMdelta finds consistent weighting parameters delta for a vector of selected age-to-age chain-ladder factors for a given run-off triangle.
The added functionality was implemented by Dan Murphy, who is the co-author of the paper A Family of Chain-Ladder Factor Models for Selected Link Ratios by Bardis, Majidi, Murphy. You find a more detailed explanation with R code examples on Dan’s blog and see also his slides from the CAS spring meeting.
Last week we released version 0.1.5-6 of the ChainLadder package on CRAN. The ChainLadder package provides statistical models, which are typically used for the estimation of outstanding claims reserves in general insurance. The package vignette gives an overview of the package functionality.
Output of plot(MackChainLadder(GenIns))
Since the last CRAN release Dan Murphy added new features to the MackChainLadder function and we fixed a bug in BootChainLadder. Here are he details:
This is the third post about Christofides’ paper on Regression models based on log-incremental payments . The first post covered the fundamentals of Christofides’ reserving model in sections A - F, the second focused on a more realistic example and model reduction of sections G - K. Today’s post will wrap up the paper with sections L - M and discuss data normalisation and claims inflation. I will use the same triangle of incremental claims data as introduced in my previous post.
Following on from last week’s post I will continue to go through the paper Regression models based on log-incremental payments by Stavros Christofides . In the previous post I introduced the model from the first 15 pages up to section F. Today I will progress with sections G to K which illustrate the model with a more realistic incremental claims payments triangle from a UK Motor Non-Comprehensive account:# Page D5.17
A recent post on the PirateGrunt blog on claims reserving inspired me to look into the paper Regression models based on log-incremental payments by Stavros Christofides , published as part of the Claims Reserving Manual (Version 2) of the Institute of Actuaries.
The paper is available together with a spread sheet model, illustrating the calculations. It is very much based on ideas by Barnett and Zehnwirth, see  for a reference.
Last week we released version 0.1.5-4 of the ChainLadder package on CRAN. The R package provides methods which are typically used in insurance claims reserving. If you are new to R or insurance check out my recent talk on Using R in Insurance.
The chain-ladder method which is a popular method in the insurance industry to forecast future claims payments gave the package its name. However, the ChainLadder package has many other reserving methods and models implemented as well, such as the bootstrap model demonstrated below.
Every year the UK’s general insurance actuarial community organises a big conference, which they call GIRO, short for General Insurance Research Organising committee.
This year’s conference is in Brussels from 18 - 21 September 2012. Despite the fact that Brussels is actually in Belgium the UK actuaries will travel all the way to enjoy good beer and great talks. On Wednesday morning I will run a session on Using R in insurance.
Today we published version 0.1.5-1 of the ChainLadder package for R. It provides methods which are typically used in insurance claims reserving to forecast future claims payments.
Claims development and chain-ladder forecast of the RAA data set using the Mack methodThe package started out of presentations given at the Stochastic Reserving Seminar at the Institute of Actuaries in 2007, 2008 and 2010, followed by talks at CAS meetings in 2008 and 2010.