DCL-package: Claims Reserving under the Double Chain Ladder Model

In DCL: Claims Reserving under the Double Chain Ladder Model

Claims Reserving under the Double Chain Ladder Model

Description

This package provides functions for statistical modelling and forecasting in claims reserving in non-life insurance under the Double Chain Ladder framework by Martinez-Miranda, Nielsen and Verrall (2012). Using specific functions, the user will be able generate plots to visualize and gain intuition about the data (run-off triangles), break down classical chain ladder under the DCL model, visualize the underlying delay function and the inflation, introduce expert knowledge about the severity inflation, the zero-claims etc. Besides a validation exercise can be performed through a back-test on the data.

Details

Package:	DCL
Type:	Package
Version:	0.1.0
Date:	2013-10-24
License:	GPL-2

Author(s)

M.D. Martinez-Miranda, J.P. Nielsen and R. Verrall

Maintainer: Maria Dolores Martinez-Miranda <[e-mail]>

References

Martinez-Miranda M.D., Nielsen B, Nielsen J.P and Verrall, R. (2011) Cash flow simulation for a model of outstanding liabilities based on claim amounts and claim numbers. Astin Bulletin, 41/1, 107-129.

Martinez-Miranda, M.D., Nielsen, J.P. and Verrall, R. (2012) Double Chain Ladder. Astin Bulletin, 42/1, 59-76.

Martinez-Miranda, M.D., Nielsen, J.P. and Verrall, R. (2013) Double Chain Ladder and Bornhuetter-Ferguson. North American Actuarial Journal, 17(2), 101-113.

Martinez-Miranda, M.D., Nielsen, J.P., Verrall, R. and Wuthrich, M.V. (2013) Double Chain Ladder, Claims Development Inflation and Zero Claims. Scandinavian Actuarial Journal. In press.

See more at http://www.cassknowledge.com/research/article/double-chain-ladder-cass-knowledge

Examples

data(NtriangleDCL)
data(XtriangleDCL)

# Classical chain ladder parameters
my.clm.par<-clm(XtriangleDCL)
Plot.clm.par(my.clm.par)

# Estimation of the DCL parameters (break-down of the chain ladder parameters)
my.dcl.par<-dcl.estimation(XtriangleDCL,NtriangleDCL)
Plot.dcl.par(my.dcl.par)

# DCL Predictions by diagonals (future calendar years)
# Splitting the chain ladder reserve into RBNR and IBNR claims (ignoring the tail)
preds.dcl.diag<-dcl.predict(my.dcl.par,Model=0,Tail=FALSE,num.dec=0)

# Full cashflow considering the tail (only the variance process)
# Below only B=200 simulations for faster calculations in the example
boot1<-dcl.boot(dcl.par=my.dcl.par,Ntriangle=NtriangleDCL,boot.type=1,B=200)
Plot.cashflow(boot1)

DCL documentation built on May 5, 2022, 5:06 p.m.