IndepMack93: Mack93 independence

In ArnaudBu/ReservingLad: Reserving for Non Life Insurance

Description

IndepMack93 test the hypothesis of the independence of the development factors across calendar years.

Usage

IndepMack93(triangle, range = 0.95)

Arguments

triangle	Cumulated triangle as a matrix
range	Range used for hypothesis testing.

Details

Implementation of the technique for error estimation developed by Mack in its 1993 article "MEASURING THE VARIABILITY OF CHAIN LADDER RESERVE ESTIMATES"

Value

A list containing the following objects:

• hypTab: the table for hypothesis testing

• valueTest: the values for hypothesis testing as a data.frame

• validated: boolean. If the test is validated with the selected range

Examples

error <- IndepMack93(triangleExampleEngland)

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