utilityfunctions: Cumulative and incremental triangles

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

Cumulative and incremental triangles

Description

Functions to convert between cumulative and incremental triangles

Usage

incr2cum(Triangle, na.rm=FALSE)
cum2incr(Triangle)

Arguments

Triangle	triangle. Assume columns are the development period, use transpose otherwise.
na.rm	logical. Should missing values be removed?

Details

incr2cum transforms an incremental triangle into a cumulative triangle, cum2incr provides the reserve operation.

Value

Both functions return a triangle.

Author(s)

Markus Gesmann, Christophe Dutang

See Also

See also as.triangle

Examples

# See the Taylor/Ashe example in Mack's 1993 paper

#original triangle
GenIns

#incremental triangle
cum2incr(GenIns)

#original triangle
incr2cum(cum2incr(GenIns))

# See the example in Mack's 1999 paper

#original triangle
Mortgage
incMortgage <- cum2incr(Mortgage)
#add missing values
incMortgage[1,1] <- NA
incMortgage[2,1] <- NA
incMortgage[1,2] <- NA

#with missing values argument
incr2cum(incMortgage, na.rm=TRUE)

#compared to 
incr2cum(Mortgage)

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