clmplus.default: Fit Chain Ladder Plus to reverse time triangles.

In clmplus: Tool-Box of Chain Ladder Plus Models

Fit Chain Ladder Plus to reverse time triangles.

Description

Default method to fit Chain Ladder plus models.

Usage

## Default S3 method:
clmplus(
  AggregateDataPP,
  hazard.model = NULL,
  link = c("log", "logit"),
  staticAgeFun = TRUE,
  periodAgeFun = "NP",
  cohortAgeFun = NULL,
  effect_log_scale = TRUE,
  constFun = function(ax, bx, kt, b0x, gc, wxt, ages) list(ax = ax, bx = bx, kt = kt, b0x
    = b0x, gc = gc),
  ...
)

Arguments

AggregateDataPP	AggregateDataPP object, reverse time triangle to be fitted.
hazard.model	character, hazard model supported from our package. The model can be chosen from: 'a': Age model, this is equivalent to the Mack chain-ladder. 'ac': Age and cohort effects. 'ap': Age and cohort effects. 'apc': Age cohort and period effects.
link	character, defines the link function and random component associated with the mortality model. "log" would assume that deaths follow a Poisson distribution and use a log link while "logit" would assume that deaths follow a Binomial distribution and a logit link. To be disregarded unless the practitioner specifies his own hazard model in StMoMo.
staticAgeFun	logical, indicates if a static age function \alpha_x is to be included. To be disregarded unless the practitioner specifies his own hazard model in StMoMo.
periodAgeFun	list, a list of length N with the definitions of the period age modulating parameters \beta_x^{(i)}. Each entry can take values: "NP" for non-parametric age terms, "1" for \beta_x^{(i)}=1 or a predefined parametric function of age (see details). Set this to NULL if there are no period terms in the model. To be disregarded unless the practitioner specifies his own hazard model in StMoMo.
cohortAgeFun	character or function, defines the cohort age modulating parameter \beta_x^{(0)}. It can take values: "NP" for non-parametric age terms, "1" for \beta_x^{(0)}=1, a predefined parametric function of age (see details) or NULL if there is no cohort effect. To be disregarded unless the practitioner specifies his own hazard model in StMoMo.
effect_log_scale	logical, whether effects should be on the logarithmic scale. By default, TRUE.
constFun	function, it defines the identifiability constraints of the model. It must be a function of the form constFun <- function(ax, bx, kt, b0x, gc, wxt, ages) taking a set of fitted model parameters and returning a list list(ax = ax, bx = bx, kt = kt, b0x = b0x, gc = gc) of the model parameters with the identifiability constraints applied. If omitted no identifiability constraints are applied to the model. To be disregarded unless the practitioner specifies his own hazard model in StMoMo.
...	parameters to be passed to clmplus.

Value

No return value, called to pass method clmplus.AggregateDataPP. See clmplus.AggregateDataPP documentation.

References

Pittarello, Gabriele, Munir Hiabu, and Andrés M. Villegas. "Replicating and extending chain ladder via an age-period-cohort structure on the claim development in a run-off triangle." arXiv preprint arXiv:2301.03858 (2023).

Hiabu, Munir. “On the relationship between classical chain ladder and granular reserving.” Scandinavian Actuarial Journal 2017 (2017): 708 - 729.

clmplus documentation built on Aug. 8, 2025, 6:06 p.m.