DCL: Claims Reserving under the Double Chain Ladder Model

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Statistical modelling and forecasting in claims reserving in non-life insurance under the Double Chain Ladder framework by Martinez-Miranda, Nielsen and Verrall (2012).

Author
Maria Dolores Martinez-Miranda, Jens Perch Nielsen and Richard Verrall
Date of publication
2013-10-25 07:16:10
Maintainer
Maria Dolores Martinez-Miranda <mmiranda@ugr.es>
License
GPL-2
Version
0.1.0

View on CRAN

Man pages

Aggregate
Switch to a higher level of aggregation
bdcl.estimation
Parameter estimation - DCL model using the BDCL method
clm
Classical Chain Ladder Method
dcl.boot
Bootstrap distribution: the full cashflow
dcl.boot.prior
Bootstrap distribution (the full cashflow) adding prior...
dcl.estimation
Parameter estimation - Double Chain Ladder model
DCL-package
Claims Reserving under the Double Chain Ladder Model
dcl.predict
Pointwise predictions (RBNS/IBNR split)
dcl.predict.prior
Pointwise predictions (RBNS/IBNR split) adding prior...
extract.prior
Extracting information about zero-claims and severity...
get.cumulative
Cumulative triangle
get.incremental
Incremental triangle
idcl.estimation
Parameter estimation - DCL model reproducing the incurred...
ItriangleBDCL
Incurred data (BDCL example)
NpaidPrior
Number of non-zero payments (adding prior knowledge example)
NtriangleBDCL
Number of reported claims (BDCL example)
NtriangleDCL
Number of reported claims (DCL example)
NtrianglePrior
Number of reported claims (adding prior knowledge example)
Plot.cashflow
Plotting the full cashflow (bootstrap distribution)
Plot.clm.par
Plotting the estimated chain ladder parameters
Plot.dcl.par
Plotting the estimated parameters in the DCL model
Plot.triangle
Plotting an incremental run-off triangle
validating.incurred
Back-test: testing against the experience
XtriangleBDCL
Paid data (BDCL example)
XtriangleDCL
Paid data (DCL example)
XtrianglePrior
Paid data (adding prior knowledge example)

Files in this package

DCL
DCL/NAMESPACE
DCL/data
DCL/data/XtriangleBDCL.rda
DCL/data/NpaidPrior.rda
DCL/data/NtrianglePrior.rda
DCL/data/XtrianglePrior.rda
DCL/data/ItriangleBDCL.rda
DCL/data/XtriangleDCL.rda
DCL/data/NtriangleBDCL.rda
DCL/data/NtriangleDCL.rda
DCL/R
DCL/R/Plot.dcl.par.R
DCL/R/dcl.boot.prior.R
DCL/R/idcl.estimation.R
DCL/R/dcl.estimation.R
DCL/R/dcl.predict.R
DCL/R/Plot.clm.par.R
DCL/R/Plot.cashflow.R
DCL/R/Aggregate.R
DCL/R/dcl.predict.prior.R
DCL/R/get.incremental.R
DCL/R/bdcl.estimation.R
DCL/R/get.cumulative.R
DCL/R/Plot.triangle.R
DCL/R/validating.incurred.R
DCL/R/clm.R
DCL/R/extract.prior.R
DCL/R/dcl.boot.R
DCL/MD5
DCL/DESCRIPTION
DCL/man
DCL/man/Plot.triangle.Rd
DCL/man/validating.incurred.Rd
DCL/man/dcl.boot.prior.Rd
DCL/man/dcl.boot.Rd
DCL/man/ItriangleBDCL.Rd
DCL/man/extract.prior.Rd
DCL/man/NtriangleDCL.Rd
DCL/man/clm.Rd
DCL/man/bdcl.estimation.Rd
DCL/man/get.cumulative.Rd
DCL/man/Plot.cashflow.Rd
DCL/man/XtriangleBDCL.Rd
DCL/man/get.incremental.Rd
DCL/man/XtrianglePrior.Rd
DCL/man/NpaidPrior.Rd
DCL/man/dcl.estimation.Rd
DCL/man/XtriangleDCL.Rd
DCL/man/NtrianglePrior.Rd
DCL/man/DCL-package.Rd
DCL/man/Plot.dcl.par.Rd
DCL/man/dcl.predict.prior.Rd
DCL/man/Plot.clm.par.Rd
DCL/man/idcl.estimation.Rd
DCL/man/dcl.predict.Rd
DCL/man/NtriangleBDCL.Rd
DCL/man/Aggregate.Rd