CameronMutual: Cameron Mutual Insurance Company Data

In ProfileLadder: Functional Profile Chain Ladder for Claims Reserving

Cameron Mutual Insurance Company Data

Description

An illustrative dataset—a matrix (of the dimensions 10x10) with ten completed years of claims payment developments of the Cameron Mutual Insurance company from the period 1988 – 1997. The data matrix contains ten origin/occurrence years (in rows where the first row represents the incident year 1988) with ten consecutive development periods/years (in columns).

Usage

data(CameronMutual)

Format

CameronMutual

A simple 10x10 matrix of a class triangle with ten origin years (rows) each being fully developed within ten consecutive development periods/years (columns)

origin

matrix rows with the occurrence year (origin)

dev

matrix columns with the development period (development)

Details

The run-off triangle (the upper-left triangular part of the data matrix) contains only positive increments making the triangle suitable for the standard modelling approach—the over-dispersed Poisson model (GLM regression model).

In practice, the upper-left triangle (the run-off triangle) is typically observed (known) while the bottom-right triangular part of the data matrix is treated as a future payments outcome (an "unknown" truth) that should be estimated/predicted. The Cameron Mutual Insurance data matrix is fully observed to allow for some goodness-of-fit evaluations.

Source

https://www.casact.org/publications-research/research/research-resources
(PP Auto Data Set, NAIC group code: 5320)

References

Meyers, G. G. and P. Shi (2011). Loss reserving data pulled from NAIC Schedule P. Available from https://www.casact.org/publications-research/research/research-resources

Maciak, M., Mizera, I., and Pešta, M. (2022). Functional Profile Techniques for Claims Reserving. ASTIN Bulletin, 52(2), 449-482. DOI:10.1017/asb.2022.4 (Portfolio #1)

ProfileLadder documentation built on Aug. 8, 2025, 6:10 p.m.