BootstrapMack: Bootstrap Mack

In ArnaudBu/ReservingLad: Reserving for Non Life Insurance

Description

BootstrapMack computes the bootstraped distribution for IBNR with a Mack Model

Usage

BootstrapMack(triangle, nBoot = 1000, weight = NA)

Arguments

triangle	Cumulated triangle as a matrix. The matrix should be square
nBoot	Number of samples. Default value to 1000
weight	Boolean matrix the same size of the triangle to tell if the value is to be considered: 1 for yes, 0 for no. First column is not considered

Value

A list containing the following objects:

• triangleList: the list of bootsraped triangles

• ibnrByAccidentYear: a data frame containing ibnrs by accident year

• ibnr: a vector of the total ibnr values)

• predictionError: estimation of the prediction error on IBNR

Examples

bm <- BootstrapMack(triangleExampleEngland, 1000)

ArnaudBu/ReservingLad documentation built on Sept. 21, 2021, 1:19 p.m.