PureIBNRGamma: Pure IBNR exposure from a Gamma reporting delay distribution
In NetSimR: Actuarial Functions for Non-Life Insurance Modelling

PureIBNRGamma

R Documentation

Pure IBNR exposure from a Gamma reporting delay distribution

Description

Gives the unearned and pure IBNR exposure of each policy period at a valuation date, from a Gamma reporting delay, as needed to reserve for claims that have occurred but have not yet been reported.

Usage

PureIBNRGamma(IncDate, ExpDate, ValDate, shape, rate)

Arguments

`IncDate`	A `Date` or `POSIXct` vector - the inception dates of the periods. Numbers and character strings are not accepted; convert them with `as.Date()` first.
`ExpDate`	A `Date` or `POSIXct` vector - the expiry dates of the periods. Must not be before the inception dates.
`ValDate`	A `Date` or `POSIXct` date - the valuation date.
`shape`	A positive real number - the shape parameter of the reporting delay's Gamma distribution, with the delay measured in days.
`rate`	A positive real number - the rate parameter (per day) of the reporting delay's Gamma distribution.

Details

Durations are counted in days on each date's own calendar and clock: a POSIXct time of day counts as a fraction of a day, and daylight saving changes do not add fractions of a day, so Date and POSIXct dates (or a mix of them) give the same results.

Value

A data frame with the unearned and pure IBNR exposure of each period in days (UnearnedDuration, and PureIBNRDuration rounded to 2 decimals) and as proportions between 0 and 1 of the period's duration (UnearnedDurationRatio and PureIBNRDurationRatio, rounded to 5 decimals), where the reporting delay has a Gamma distribution with parameters shape and rate. The ratios are computed before the durations are rounded. A period of zero length (ExpDate equal to IncDate) gives ratios of 0. The dates and parameters are recycled to a common length, one row each; lengths that do not recycle are an error.

Examples

Dates = data.frame(
    inceptionDate = c("01/01/2006", "01/07/2006", "01/01/2007")
    ,expiryDate = c("31/12/2006", "30/06/2007", "31/12/2007")
)

Dates$inceptionDate<-as.POSIXct(Dates$inceptionDate, format="%d/%m/%Y")

Dates$expiryDate<-as.POSIXct(Dates$expiryDate, format="%d/%m/%Y")

ValuationDate<-as.POSIXct("30/10/2007", format="%d/%m/%Y")

PureIBNRGamma(Dates$inceptionDate,Dates$expiryDate,ValuationDate,7,0.15)

NetSimR documentation built on Sept. 30, 2026, 5:13 p.m.