Payments2Triangle: Converts Payments to a triangle

In ArnaudBu/ReservingLad: Reserving for Non Life Insurance

Description

Payments2Triangle converts a list of cash flows to a triangle.

Usage

Payments2Triangle(
  accidentDate,
  transactionDate,
  cashFlows,
  years = NA,
  mode = "year",
  evalDate = "01-01"
)

Arguments

accidentDate	Date vector. Reference date for the triangle: accident date or underwriting date depending on the reference
transactionDate	Date vector. Date of transaction.
cashFlows	Numeric vector. Cash flows corresponding to the reference date and made at transaction date.
years	Numeric vector. Years to include in the analysis. By default, all years are taken.
mode	string. The mode of aggregation for triangle. The different possible modes are: semester: aggregation over semesters for accident period and semesters for development period. Implies evalDate in ("07-01", "01-01") quarter: aggregation over quarters for accident period and semesters for development period. Implies evalDate in ("10-01","07-01","04-01", "01-01") year: aggregation on yearly step from evalDate for both accident and development period yearRef: aggregation on fiscal years for accident periods and a first development period corresponding to the timelapse between beginning of the year and evalDate
evalDate	String. Date of evaluation, with format "m-d" (ex: "12-23"). All data after this date for the maximal year will not be considered.

Value

Triangle as a matrix

Examples

library(lubridate)
library(data.table)
origin_claim <- as.Date("2010-01-03")
origin_transaction <- as.Date("2010-01-25")
dates_claim <- origin_claim %m+% months(0:59)
dates_transaction <- origin_transaction %m+% months(0:59)
d <- data.table(expand.grid(dates_claim, dates_transaction))
colnames(d) <- c("date_claim", "date_transaction")
d <- d[date_claim < date_transaction]
d$amount <- 1:1
Payments2Triangle(d$date_claim, d$date_transaction, d$amount, years = NA, mode = "yearRef", evalDate = "01-01")
Payments2Triangle(d$date_claim, d$date_transaction, d$amount, years = 2011:2014, mode = "yearRef", evalDate = "01-01")
Payments2Triangle(d$date_claim, d$date_transaction, d$amount, years = NA, mode = "yearRef", evalDate = "04-05")
Payments2Triangle(d$date_claim, d$date_transaction, d$amount, years = NA, mode = "year", evalDate = "01-01")
Payments2Triangle(d$date_claim, d$date_transaction, d$amount, years = NA, mode = "year", evalDate = "04-05")
Payments2Triangle(d$date_claim, d$date_transaction, d$amount, years = NA, mode = "semester", evalDate = "01-01")
Payments2Triangle(d$date_claim, d$date_transaction, d$amount, years = NA, mode = "quarter", evalDate = "01-01")

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