LRfunction: Calculate the Link Ratio Function

Description Usage Arguments Details Value Author(s) References Examples

View source: R/CLFMdelta.r

Description

This calculates the link ratio function per the CLFM paper.

Usage

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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

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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 Jan. 9, 2022, 5:06 p.m.