BALD: A package for robust stochastic loss development.
In BALD: Robust Loss Development Using MCMC

A package for robust stochastic loss development.

BALD makes available a Bayesian time series model of loss development, estimated using MCMC. This package is intended used for Property and Casualty (PC) actuaries. PC actuaries aggregate historical loss experience in a triangle two dimensions form. The two dimensions are accident years and development years. Most of the time, the loss experience is paid loss and/or incurred loss. Incurred loss is the sum of paid loss and case reserve put up for the estimate of future payment of the claims.

Accident Years is on the row dimension. It is the year when the incident of the claims happened.

Development Year is on the column dimension. It is the time when the claims payments progresses.

Calendar Year is on the diagonal of the triangle form. It is by the calendar year view of loss experience and often times the insurance companies reporting balance sheet and income statement views.

The features of this package include skewed Student-t distribution with time-varying scale parameter for the likelihood of the loss distribution with given parameters. User can put expert prior for the calendar year effect, and structural break in the consumption path of services/development years. This is an update for the older package lossDev as it has been stopped supported

Please read the vignette for guidance on usage. And “Robust Loss Development Using MCMC” by Schmid, Frank A. for theory.

Schmid, Frank A., “Robust Loss Development Using MCMC,”, 2009

BALD documentation built on May 2, 2019, 6:51 a.m.