Multivariate Regression Models for Reserving


MRMR allows an actuary to create sets of loss data and forecast liabilities. It uses a set of 3 S4 objects to store data, models and predictions.



A Triangle is a collection of aggregate loss data. All triangles must have a defined set of OriginPeriods, a defined set of DevelopmentIntervals and data along those axes. A triangle may carry additional descriptive information such as line of business, geographic region and so on.


A TriangleModel is a statistical model fit to triangle data. The formula may be defined by the user and will generally be a linear or generalized linear model. A triangle may have more than one model. It usually will.


A TriangleProjection is a prediction based on a TriangleModel. A TriangleModel may have more than one projection.

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