Mack93Variance: Mack93 variances

In ArnaudBu/ReservingLad: Reserving for Non Life Insurance

Description

Mack93Variance computes the variances coefficients for each development year

Usage

Mack93Variance(triangle, weight = NA)

Arguments

triangle	Cumulated triangle as a matrix. The matrix must have same dimension on row and columns
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

Details

Implementation of the technique for error estimation developed by Mack in its 1993 article.

Value

A list containing the following objects:

• coeffVar: variances on coefficients

• ibnrVar: variances on ibnr by accident year

• ibnrVarTot: total variance on ibnr

Examples

error <- Mack93Variance(triangleExampleEngland)

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