LRfunction: Calculate the Link Ratio Function

In ChainLadder: Statistical Methods and Models for Claims Reserving in General Insurance

Calculate the Link Ratio Function

Description

This calculates the link ratio function per the CLFM paper.

Usage

LRfunction(x, y, delta)

Arguments

x	beginning value of loss during a development period
y	ending value of loss during a development period
delta	numeric

Details

Calculated the link ratios resulting from a chainladder model over a development period indexed by (possibly vector valued) real number delta. See formula (5) in the References.

Value

A vector of link ratios.

Author(s)

Dan Murphy

References

Bardis, Majidi, Murphy. A Family of Chain-Ladder Factor Models for Selected Link Ratios. Variance. Pending. 2013. pp.tbd:tbd

Examples

x <- RAA[1:9,1]
y <- RAA[1:9,2]
delta <- seq(-2, 2, by = .1)
plot(delta, LRfunction(x, y, delta), type = "l")

ChainLadder documentation built on Sept. 11, 2024, 8:35 p.m.