DCL: Claims Reserving under the Double Chain Ladder Model

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

Install the latest version of this package by entering the following in R:
AuthorMaria Dolores Martinez-Miranda, Jens Perch Nielsen and Richard Verrall
Date of publication2013-10-25 07:16:10
MaintainerMaria Dolores Martinez-Miranda <mmiranda@ugr.es>

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)


Aggregate Man page
bdcl.estimation Man page
clm Man page
DCL Man page
dcl.boot Man page
dcl.boot.prior Man page
dcl.estimation Man page
DCL-package Man page
dcl.predict Man page
dcl.predict.prior Man page
extract.prior Man page
get.cumulative Man page
get.incremental Man page
idcl.estimation Man page
ItriangleBDCL Man page
NpaidPrior Man page
NtriangleBDCL Man page
NtriangleDCL Man page
NtrianglePrior Man page
Plot.cashflow Man page
Plot.clm.par Man page
Plot.dcl.par Man page
Plot.triangle Man page
validating.incurred Man page
XtriangleBDCL Man page
XtriangleDCL Man page
XtrianglePrior Man page

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