One year claims development result
Description
Standard deviation of the claims development result after one year for the distributionfree chainladder model (Mack) and Bootstrap model.
Usage
1 2 3 4 5 6 7 
Arguments
x 
otput of either 
dev 
vector of development periods or 
probs 
only applicable for 
... 
other arguments 
Details
Merz & Wüthrich (2008) derived analytic formulae for the mean square error of prediction of the claims development result for the Mack chainladder model after one year assuming:

The opening reserves were set using the pure chainladder model (no tail)

Claims develop in the year according to the assumptions underlying Mack's model

Reserves are set after one year using the pure chainladder model (no tail)
Value
A data.frame
with various IBNR/reserves and oneyear statistics of the
claims development result.
Note
Tail factors are currently not supported.
Author(s)
Mario Wüthrich and Markus Gesmann
with contributions from Arthur Charpentier and Arnaud Lacoume
for CDR.MackChainLadder
and Giuseppe Crupi and
Markus Gesmann for CDR.BootChainLadder
.
References
Michael Merz, Mario V. Wüthrich. Modelling the claims development result for solvency purposes. Casualty Actuarial Society EForum, Fall 2008.
Michael Merz, Mario V. Wüthrich. Claims RunOff Uncertainty: The Full Picture. Swiss Finance Institute Research Paper No. 1469. http://ssrn.com/abstract=2524352. 2014
See Also
See also MackChainLadder
and BootChainLadder
Examples
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18  # Example from the 2008 Merz, Wuthrich paper mentioned above
MW2008
M < MackChainLadder(MW2008, est.sigma="Mack")
plot(M)
CDR(M)
# Return all runoff result developments
CDR(M, dev="all")
# Example from the 2014 Merz, Wuthrich paper mentioned above
MW2014
W < MackChainLadder(MW2014, est.sigma="Mack")
plot(W)
CDR(W)
# Example with the BootChainLadder function, assuming overdispered Poisson model
B < BootChainLadder(MW2008, process.distr=c("od.pois"))
B
CDR(B)

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