BornFerg: Bornhuetter Fergusson

In ArnaudBu/ReservingLad: Reserving for Non Life Insurance

Description

BornFerg applies the Bornhuetter Fergusson method to a cumulated claim triangle.

Usage

BornFerg(triangle, ultimateClaims, coeffs = "CL", weight = NA)

Arguments

triangle	Cumulated triangle as a matrix.
ultimateClaims	Ultimate claims by accident year.
coeffs	Character. Method for computing the coefficients: CL: Same coefficient as Chain Ladder full: Take the coefficient computed from full lines
weight	Used only if coeff = "CL". 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

Details

Missing values are handled. There just need to be replaced by a NA.

It is possible to have more than one complete line.

Value

A list containing the following objects:

• triangle: the input triangle

• developedTriangle: the developed triangle

• gammas: the Bornhuetter Fergusson coefficients

• ibnrByAccidentYear: ibnr reserve by accident year

• ibnr: total ibnr reserve

Examples

ultimateClaims <- c(3901463,5433719,5378826,5297906,4858200,5111171,5660771,6784799,5642266,4969825)
outputBF <- BornFerg(triangleExampleEngland, ultimateClaims)

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