cas_loss_reserve_db: CAS Loss Reserve Triangle Database

In problemofpoints/reservetestr: Provides a Framework for Testing Loss Reserve Methods

Description

Full dataset from the Casualty Actuarial Society's (CAS) loss reserving database.

From the CAS website: "Our goal is to prepare a clean and nice data set of loss triangles that could be used for claims reserving studies. The data includes major personal and commercial lines of business from U.S. property casualty insurers. The claims data comes from Schedule P - Analysis of Losses and Loss Expenses in the National Association of Insurance Commissioners (NAIC) database."

This package pulls the by line .csv files from the CAS website and creates a tidy data set. Column names were changed from the original data to make them more user friendly.

Usage

cas_loss_reserve_db

Format

a nested tibble with columns as described below

full_long_tri column descriptions:

• line: name of line of business ("ppauto", "wkcomp", "comauto", "medmal", "prodliab", "othliab")

• group_id: NAIC company code

• company

• acc_yr

• dev_yr

• dev_lag: development year (acc_yr - 1987 + dev_yr - 1987 - 1)

• cum_caseinc_loss

• increm_caseinc_loss

• cum_paid_loss

• increm_paid_loss

• booked_ult_loss: cum_incurred_loss plus bulk_ibnr

• bulk_ibnr: bulk and IBNR reserves on net losses and defense and cost containment expenses reported at year end

• direct_ep: direct and assumed earned premium

• ceded_ep: earned premium ceded to reinsurers

• net_ep: premium earned net of reinsurance

• single_entity: 1 indicates a single entity, 0 indicates a group insurer

• posted_reserve_1997: Posted reserves in year 1997 taken from the Underwriting and Investment Exhibit - Part 2A, including net losses unpaid and unpaid loss adjustment expenses

train_tri_set:

• a list of triangle objects, including net earned premium as exposure

• upper triangle only; used as input to loss reserving methods

• paid_tri = cumulative paid loss triangle

• case_tri = cumulative case-incurred loss triangle

• ult_tri = cumulative booked ultimate incurred loss triangle

test_tri_set:

• a list of triangle objects

• lower triangle only; used to test accuracy of loss reserving methods

• paid_tri = cumulative paid loss triangle

• case_tri = cumulative case-incurred loss triangle

• ult_tri = cumulative booked ultimate incurred loss triangle

Source

LOSS RESERVING DATA PULLED FROM NAIC SCHEDULE P

problemofpoints/reservetestr documentation built on Jan. 3, 2020, 9:12 a.m.