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Chain Ladder

This R package provides statistical methods and models for claims reserving in general insurance. It contains functions for chain ladder and other reserving methods, as well as bootstrapping and goodness of fit tests. The package documentation lists over 70 functions for tasks like fitting chain ladder models, calculating development factors and reserves, and analyzing reserve estimation results.

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Chain Ladder

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Package ‘ChainLadder’

January 9, 2022
Type Package
Title Statistical Methods and Models for Claims Reserving in General
Insurance
Version 0.2.15
Date 2022-01-09
Description Various statistical methods and models which are
typically used for the estimation of outstanding claims reserves
in general insurance, including those to estimate the claims
development result as required under Solvency II.
Imports Matrix, actuar, methods, stats, lattice, grid, tweedie, utils,
systemfit, statmod, cplm (>= 0.7-3), ggplot2, MASS
Suggests RUnit, knitr, rmarkdown
VignetteBuilder knitr
License GPL (>= 2)

URL https://github.com/mages/ChainLadder,
https://mages.github.io/ChainLadder/

BugReports https://github.com/mages/ChainLadder/issues
LazyLoad yes
LazyData yes
RoxygenNote 7.1.1
NeedsCompilation no
Author Markus Gesmann [aut, cre],
Daniel Murphy [aut],
Yanwei (Wayne) Zhang [aut],
Alessandro Carrato [aut],
Giuseppe Crupi [ctb],
Christophe Dutang [ctb],
Arnaud Lacoume [ctb],
Arthur Charpentier [ctb],
Mario Wuthrich [aut],

1
2 R topics documented:

Fabio Concina [aut],

Eric Dal Moro [aut],
Yuriy Krvavych [ctb],
Vincent Goulet [ctb],
Marco De Virgilis [ctb]
Maintainer Markus Gesmann <[email protected]>
Repository CRAN
Date/Publication 2022-01-09 15:32:42 UTC

R topics documented:
ChainLadder-package . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
ABC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
as.LongTriangle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
ata . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
auto . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
AutoBI . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
BootChainLadder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
BS.paid.adj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
CDR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
chainladder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
checkTriangleInflation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
ClarkCapeCod . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
ClarkLDF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
CLFMdelta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
coef.ChainLadder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
Cumulative and incremental triangles . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
cyEffTest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
dfCorTest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
GenIns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
getLatestCumulative . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
glmReserve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
inflateTriangle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
Join2Fits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
JoinFitMse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
liab . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
LRfunction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
M3IR5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
MackChainLadder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
MCLpaid . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
MedMal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
Mortgage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
Mse-methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
MultiChainLadder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
MultiChainLadder-class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
MultiChainLadderFit-class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
MultiChainLadderMse-class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
R topics documented: 3

MultiChainLadderSummary-class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
MunichChainLadder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
MW2008 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
MW2014 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
NullNum-class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
PaidIncurredChain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
plot-MultiChainLadder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
plot.BootChainLadder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
plot.checkTriangleInflation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
plot.clark . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
plot.cyEffTest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
plot.dfCorTest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
plot.MackChainLadder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
plot.MunichChainLadder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78
predict.TriangleModel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
print.ata . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
print.checkTriangleInflation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
print.clark . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
print.cyEffTest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
print.dfCorTest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
qpaid . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
quantile.MackChainLadder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
QuantileIFRS17 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
RAA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
residCov . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90
residuals.MackChainLadder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90
summary-methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
summary.ata . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
summary.BootChainLadder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
summary.checkTriangleInflation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
summary.clark . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
summary.cyEffTest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
summary.dfCorTest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98
summary.MackChainLadder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
summary.MunichChainLadder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
Table65 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
triangle S3 Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
triangles-class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
tweedieReserve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106
tweedieReserve methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
UKMotor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
USAA triangle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113
vcov.clark . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113

Index 116
4 ChainLadder-package

ChainLadder-package Methods and Models for Claims Reserving

Description
ChainLadder provides methods and models which are typically used in insurance claims reserving.
The package grew out of presentations given at the Stochastic Reserving Seminar at the Institute of
Actuaries in 2007 and 2008 and followed by talks at CAS meetings in 2008 and 2010.
More information is available on the project web site https://github.com/mages/ChainLadder
For more financial packages see also CRAN Task View ’Emperical Finance’ at https://CRAN.
R-project.org/view=Finance.

Author(s)
Maintainer: Markus Gesmann <[email protected]>

References
Thomas Mack. Distribution-free calculation of the standard error of chain ladder reserve estimates.
Astin Bulletin. Vol. 23. No 2. 1993. pp.213:225
Thomas Mack. The standard error of chain ladder reserve estimates: Recursive calculation and
inclusion of a tail factor. Astin Bulletin. Vol. 29. No 2. 1999. pp.361:366
Gerhard Quarg and Thomas Mack. Munich Chain Ladder. Blatter DGVFM 26. Munich. 2004.
England, PD and Verrall, RJ. Stochastic Claims Reserving in General Insurance (with discussion).
British Actuarial Journal 8. III. 2002
B. Zehnwirth and G. Barnett. Best Estimates for Reserves. Proceedings of the CAS. Volume
LXXXVII. Number 167.November 2000.
Clark, David R., "LDF Curve-Fitting and Stochastic Reserving: A Maximum Likelihood Ap-
proach," CAS Forum, Fall 2003.
Zhang Y. A general multivariate chain ladder model.Insurance: Mathematics and Economics, 46,
pp. 588:599, 2010.
Zhang, Y. Likelihood-based and Bayesian Methods for Tweedie Compound Poisson Linear Mixed
Models, Statistics and Computing, forthcoming.
Bardis, Majidi, Murphy. A Family of Chain-Ladder Factor Models for Selected Link Ratios. Vari-
ance. Pending. Variance 6:2, 2012, pp. 143-160.
Modelling the claims development result for solvency purposes. Michael Merz, Mario V. Wüthrich.
Casualty Actuarial Society E-Forum, Fall 2008.
Claims Run-Off Uncertainty: The Full Picture. Michael Merz, Mario V. Wüthrich. Swiss Finance
Institute Research Paper No. 14-69. https://www.ssrn.com/abstract=2524352. 2014
Markus Gesmann. Claims Reserving and IBNR. Computational Actuarial Science with R. Chap-
man and Hall/CRC. 2014
ABC 5

Examples
## Not run:
demo(ChainLadder)

## End(Not run)

ABC Run off triangle of accumulated claims data

Description
Run-off triangle of a worker’s compensation portfolio of a large company

Usage
data(ABC)

Format
A matrix with 11 accident years and 11 development years.

Source
B. Zehnwirth and G. Barnett. Best Estimates for Reserves. Proceedings of the CAS. Volume
LXXXVII. Number 167. November 2000.

Examples
ABC
plot(ABC)
plot(ABC, lattice=TRUE)

as.LongTriangle Convert Triangle from wide to long

Description
Given a Triangle in matrix ("wide") format, convert to data.frame ("long") format.

Usage
as.LongTriangle(Triangle, varnames = names(dimnames(Triangle)),
value.name = "value", na.rm = TRUE)
6 ata

Arguments
Triangle a loss "triangle". Must be a matrix.
varnames character names for the columns that will store the rownames and colnames
of matrix Triangle. Defaults to names(dimnames(Triangle)) if available. If
not provided, uses c("origin", "dev").
value.name column name to be given to the matrix values that will be stored in the data.frame.
Defaults to "value".
na.rm should NA values be excluded from the data.frame? Defaults to TRUE.

Details
Unlike the as.data.frame.triangle method, and Unlike the ’melt’ method in the ’reshape2’ package,
this function returns a data.frame where the rownames and colnames of Triangle are stored as fac-
tors. This can be a critical feature when the order of the levels of the columns is important. For
example, when a Triangle is plotted, the order of the origin and dev dimensions is important. See
Examples section.

Value
A data.frame.

Author(s)
Daniel Murphy

ata Calculate Age-to-Age Factors

Description
Calculate the matrix of age-to-age factors (also called "report-to-report" factors, or "link ratios") for
an object of class triangle.
ata 7

Usage
ata(Triangle, NArow.rm = TRUE, colname.sep = "-",
colname.order=c("ascending","descending"))

Arguments
Triangle a loss "triangle". Must be a matrix.
NArow.rm logical indicating if rows of age-to-age (ata) factors that are all NA should be
removed. "All-NA" rows typically occur for the most recent origin year of a loss
triangle.
colname.sep a character indicating the separator character to place between the column
names of Triangle that will be used to lable the columns of the resulting matrix
of ata factors
colname.order "ascending" indicates that the less mature age comes first in the column labels
of the ata matrix

Details
ata constructs a matrix of age-to-age (ata) factors resulting from a loss "triangle" or a matrix. Sim-
ple averages and volume weighted averages are saved as "smpl" and "vwtd" attributes, respectively.

Value
A matrix with "smpl" and "vwtd" attributes.

Author(s)
Daniel Murphy

See Also
summary.ata, print.ata and chainladder

Examples
ata(GenIns)

# Volume weighted average age-to-age factor of the "RAA" data

y <- attr(ata(RAA), "vwtd")
y
# "To ultimate" factors with a 10% tail
y <- rev(cumprod(rev(c(y, 1.1))))
names(y) <- paste(colnames(RAA), "Ult", sep="-")
y

## Label the development columns in "ratio-type" format

ata(RAA, colname.sep=":", colname.order="desc")
8 AutoBI

auto Run off triangle of accumulated claim data

Description
Run-off triangles of Personal Auto and Commercial Auto insurance.

Usage
data(auto)

Format
A list of three matrices, paid Personal Auto, incurred Personal Auto and paid Commercial Auto
respectively.

Source
Zhang (2010). A general multivariate chain ladder model. Insurance: Mathematics and Economics,
46, pp. 588-599.

Examples
data(auto)
names(auto)

AutoBI Run off triangles of accumulated claim data

Description
Run-off triangles of Automobile Bodily Injury Liability.

Usage
data(AutoBI)

Format
Portfolio of automobile bodily injury liability for an experience period of 1969 to 1976. Paid
Claims, Closed Claims and Reported Claim Counts respectively

Source
Berquist, J.R. and Sherman, R.E., Loss Reserve Adequacy Testing: A Comprehensive, Systematic
Approach, Proceedings of the Casualty Actuarial Society, LXIV, 1977, pp.123-184.
BootChainLadder 9

Examples
data(AutoBI)
names(AutoBI)
AutoBI$AutoBIPaid
AutoBI$AutoBIClosed
AutoBI$AutoBIReportedCounts

BootChainLadder Bootstrap-Chain-Ladder Model

Description
The BootChainLadder procedure provides a predictive distribution of reserves or IBNRs for a
cumulative claims development triangle.

Usage
BootChainLadder(Triangle, R = 999, process.distr=c("gamma", "od.pois"))

Details
The BootChainLadder function uses a two-stage bootstrapping/simulation approach. In the first
stage an ordinary chain-ladder methods is applied to the cumulative claims triangle. From this we
calculate the scaled Pearson residuals which we bootstrap R times to forecast future incremental
claims payments via the standard chain-ladder method. In the second stage we simulate the process
error with the bootstrap value as the mean and using the process distribution assumed. The set of
reserves obtained in this way forms the predictive distribution, from which summary statistics such
as mean, prediction error or quantiles can be derived.

Value
BootChainLadder gives a list with the following elements back:
call matched call
Triangle input triangle
f chain-ladder factors
10 BootChainLadder

simClaims array of dimension c(m,n,R) with the simulated claims

IBNR.ByOrigin array of dimension c(m,1,R) with the modeled IBNRs by origin period
IBNR.Triangles array of dimension c(m,n,R) with the modeled IBNR development triangles
IBNR.Totals vector of R samples of the total IBNRs
ChainLadder.Residuals
adjusted Pearson chain-ladder residuals
process.distr assumed process distribution
R the number of bootstrap replicates

Note
The implementation of BootChainLadder follows closely the discussion of the bootstrap model in
section 8 and appendix 3 of the paper by England and Verrall (2002).

Author(s)
Markus Gesmann, <[email protected]>

References
England, PD and Verrall, RJ. Stochastic Claims Reserving in General Insurance (with discussion),
British Actuarial Journal 8, III. 2002
Barnett and Zehnwirth. The need for diagnostic assessment of bootstrap predictive models, Insure-
ware technical report. 2007

See Also
See also summary.BootChainLadder, plot.BootChainLadder displaying results and finally CDR.BootChainLadder
for the one year claims development result.

Examples
# See also the example in section 8 of England & Verrall (2002) on page 55.

B <- BootChainLadder(RAA, R=999, process.distr="gamma")

B
plot(B)
# Compare to MackChainLadder
MackChainLadder(RAA)
quantile(B, c(0.75,0.95,0.99, 0.995))

# fit a distribution to the IBNR

library(MASS)
plot(ecdf(B$IBNR.Totals))
# fit a log-normal distribution
fit <- fitdistr(B$IBNR.Totals[B$IBNR.Totals>0], "lognormal")
fit
curve(plnorm(x,fit$estimate["meanlog"], fit$estimate["sdlog"]), col="red", add=TRUE)
BS.paid.adj 11

# See also the ABC example in Barnett and Zehnwirth (2007)

A <- BootChainLadder(ABC, R=999, process.distr="gamma")
A
plot(A, log=TRUE)

## One year claims development result

CDR(A)

BS.paid.adj Berquist-Sherman Paid Claim Development Adjustment

Description
The B-S Paid Claim Development Adjustment methods adjusts paid claims based on the underlying
relation between paid and closed claims.

Usage
BS.paid.adj(Triangle.rep.counts = NULL, Triangle.closed, Triangle.paid,
ult.counts = NULL, regression.type = "exponential")

Arguments
Triangle.rep.counts
cumulative reported claim counts triangle. Assume columns are the develop-
ment period, use transpose otherwise. A (mxn)-matrix Cik which is filled for
k ≤ n + 1 − i; i = 1, . . . , m; m ≥ n, see qpaid .
Triangle.closed
cumulative closed claim counts triangle. Assume columns are the development
period, use transpose otherwise.
Triangle.paid cumulative paid claims triangle. Assume columns are the development period,
use transpose otherwise.
ult.counts vector of ultimate claim counts.
regression.type
Default = "exponential". Type of regression used in the model, it can take ’ex-
ponential’ or ’linear’. See also ’Details’

Details
The importance of recognizing the impact of shifts in the rate of settlement of claims upon historical
paid loss data can materially affect the ultimate projections.
This functions adjusts the paid claims based on the numerical method described in the B-S paper.
Berquist and Sherman presented a technique to adjust the paid claim development method for
changes in settlement rates. The first step of the paid claims adjustment is to determine the dis-
posal rates by accident year and maturity.
12 BS.paid.adj

The disposal rate is defined as as the cumulative closed claim counts for each accident year-maturity
age cell divided by the selected ultimate claim count for the particular accident year.
If ultimate claim counts have been provided, they will be used to calulate the disposal rates, oth-
erwise ultimate claim counts will be estimated from the cumulative reported claim counts triangle
with a standard development method.
The disposal rates along the latest diagonal will be selected as the basis for adjusting the closed
claim count triangle, The selected disposal rate for each maturity are multiplied by the ultimate
number of claims to determine the adjusted triangle of closed claim counts.
Berquist and Sherman then use regression analysis to identify a mathematical formula that approx-
imates the relationship between the cumulative number of closed claims (X) and cumulative paid
claims (Y). The algorithm gives the possibility, through the choice of the ’regression.type’ field, to
fit an exponential model, Y = a ∗ e( bX), or a linear model, Y = a + b ∗ X.
The relation is estimated based on unadjusted closed claim counts and unadjusted paid claims.
Once the regression coefficients are estimated, they will be used to adjust paid claims based on such
coefficients and the adjusted closed claim counts triangle.

Value
BS.paid.adj returns the adjusted paid claim triangle

Author(s)
Marco De Virgilis <[email protected]>

References
Berquist, J.R. and Sherman, R.E., Loss Reserve Adequacy Testing: A Comprehensive, Systematic
Approach, Proceedings of the Casualty Actuarial Society, LXIV, 1977, pp.123-184.

See Also
See also qpaid for dealing with non-square triangles, inflateTriangle to inflate a triangle based
on an inflation rate,

Examples
# Adjust the Triangle of Paid Claims based on Reported Claim Counts

adj_paid <- BS.paid.adj( Triangle.rep.counts = AutoBI$AutoBIReportedCounts,

Triangle.closed = AutoBI$AutoBIClosed,
Triangle.paid = AutoBI$AutoBIPaid,
regression.type = 'exponential' )

# Calculate the IBNR from the standard unadjusted Paid Triangle

std_ibnr <- summary(MackChainLadder(AutoBI$AutoBIPaid))$Totals[4, 1]

# Calculate the IBNR from the adjusted Paid Triangle

CDR 13

adj_ibnr <- summary(MackChainLadder(adj_paid))$Totals[4, 1]

# Compare the two

adj_ibnr
std_ibnr

## For more examples see:

## Not run:
demo(BS.paid.adj)

## End(Not run)

CDR One year claims development result

Description
Standard deviation of the claims development result after one year for the distribution-free chain-
ladder model (Mack) and Bootstrap model.

Usage
CDR(x, ...)
## S3 method for class 'MackChainLadder'
CDR(x, dev=1, ...)
## S3 method for class 'BootChainLadder'
CDR(x, probs=c(0.75, 0.95), ...)
## Default S3 method:
CDR(x, ...)

Arguments
x otput of either MackChainLadder or BootChainLadder
dev vector of development periods or "all". Currently only applicable for MackChainLadder
output. Defines the years for which the run off claims development result should
be returned.
probs only applicable for BootChainLadder output. Define quantiles to be returned.
... other arguments

Details
Merz & Wüthrich (2008) derived analytic formulae for the mean square error of prediction of the
claims development result for the Mack chain-ladder model after one year assuming:
• The opening reserves were set using the pure chain-ladder model (no tail)
• Claims develop in the year according to the assumptions underlying Mack’s model
• Reserves are set after one year using the pure chain-ladder model (no tail)
14 CDR

Value

A data.frame with various IBNR/reserves and one-year statistics of the claims development result.

Note

Tail factors are currently not supported.

Author(s)

Mario Wüthrich and Markus Gesmann with contributions from Arthur Charpentier and Arnaud La-
coume for CDR.MackChainLadder and Giuseppe Crupi and Markus Gesmann for CDR.BootChainLadder.

References

Michael Merz, Mario V. Wüthrich. Modelling the claims development result for solvency purposes.
Casualty Actuarial Society E-Forum, Fall 2008.
Michael Merz, Mario V. Wüthrich. Claims Run-Off Uncertainty: The Full Picture. Swiss Finance
Institute Research Paper No. 14-69. https://www.ssrn.com/abstract=2524352. 2014

See Also

# Example from the 2008 Merz, Wuthrich paper mentioned above

MW2008
M <- MackChainLadder(MW2008, est.sigma="Mack")
plot(M)
CDR(M)
# Return all run-off result developments
CDR(M, dev="all")

# Example from the 2014 Merz, Wuthrich paper mentioned above

MW2014
W <- MackChainLadder(MW2014, est.sigma="Mack")
plot(W)
CDR(W)

# Example with the BootChainLadder function, assuming overdispered Poisson model

B <- BootChainLadder(MW2008, process.distr=c("od.pois"))
B
CDR(B)
chainladder 15

chainladder Estimate age-to-age factors

Description
Basic chain-ladder function to estimate age-to-age factors for a given cumulative run-off triangle.
This function is used by Mack- and MunichChainLadder.

Usage
chainladder(Triangle, weights = 1, delta = 1)

Arguments
Triangle cumulative claims triangle. A (mxn)-matrix Cik which is filled for k ≤ n + 1 −
i; i = 1, . . . , m; m ≥ n, see qpaid for how to use (mxn)-development triangles
with m<n, say higher development period frequency (e.g quarterly) than origin
period frequency (e.g annual).
weights weights. Default: 1, which sets the weights for all triangle entries to 1. Other-
wise specify weights as a matrix of the same dimension as Triangle with all
weight entries in [0; 1], where entry wi,k corresponds to the point Ci,k+1 /Ci,k .
Hence, any entry set to 0 or NA eliminates that age-to-age factor from inclusion
in the model. See also ’Details’.
delta ’weighting’ parameters. Default: 1; delta=1 gives the historical chain-ladder
age-to-age factors, delta=2 gives the straight average of the observed individual
development factors and delta=0 is the result of an ordinary regression of Ci,k+1
against Ci,k with intercept 0, see Barnett & Zehnwirth (2000).
Please note that MackChainLadder uses the argument alpha, with alpha = 2
-delta, following the original paper Mack (1999)

Details
The key idea is to see the chain-ladder algorithm as a special form of a weighted linear regression
through the origin, applied to each development period.
Suppose y is the vector of cumulative claims at development period i+1, and x at development
period i, weights are weighting factors and F the individual age-to-age factors F=y/x. Then we get
the various age-to-age factors:
• Basic (unweighted) linear regression through the origin: lm(y~x + 0)
• Basic weighted linear regression through the origin: lm(y~x + 0,weights=weights)
• Volume weighted chain-ladder age-to-age factors: lm(y~x + 0,weights=1/x)
• Simple average of age-to-age factors: lm(y~x + 0,weights=1/x^2)
Barnett & Zehnwirth (2000) use delta = 0, 1, 2 to distinguish between the above three different
regression approaches: lm(y~x + 0,weights=weights/x^delta).
Thomas Mack uses the notation alpha = 2 -delta to achieve the same result: sum(weights*x^alpha*F)/sum(weights*x^a
# Mack (1999) notation
16 chainladder

Value
chainladder returns a list with the following elements:

Models linear regression models for each development period

Triangle input triangle of cumulative claims
weights weights used
delta deltas used

Author(s)
Markus Gesmann <[email protected]>

References
Thomas Mack. The standard error of chain ladder reserve estimates: Recursive calculation and
inclusion of a tail factor. Astin Bulletin. Vol. 29. No 2. 1999. pp.361:366
G. Barnett and B. Zehnwirth. Best Estimates for Reserves. Proceedings of the CAS. Volume
LXXXVII. Number 167. November 2000.

See Also
See also ata, predict.ChainLadder MackChainLadder,

Examples
## Concept of different chain-ladder age-to-age factors.
## Compare Mack's and Barnett & Zehnwirth's papers.
x <- RAA[1:9,1]
y <- RAA[1:9,2]

F <- y/x
## wtd. average chain-ladder age-to-age factors
alpha <- 1 ## Mack notation
delta <- 2 - alpha ## Barnett & Zehnwirth notation

sum(x^alpha*F)/sum(x^alpha)
lm(y~x + 0 ,weights=1/x^delta)
summary(chainladder(RAA, delta=delta)$Models[[1]])$coef

## straight average age-to-age factors

alpha <- 0
delta <- 2 - alpha
sum(x^alpha*F)/sum(x^alpha)
lm(y~x + 0, weights=1/x^(2-alpha))
summary(chainladder(RAA, delta=delta)$Models[[1]])$coef

## ordinary regression age-to-age factors

alpha=2
delta <- 2-alpha
sum(x^alpha*F)/sum(x^alpha)
checkTriangleInflation 17

lm(y~x + 0, weights=1/x^delta)
summary(chainladder(RAA, delta=delta)$Models[[1]])$coef

## Compare different models

CL0 <- chainladder(RAA)
## age-to-age factors
sapply(CL0$Models, function(x) summary(x)$coef["x","Estimate"])
## f.se
sapply(CL0$Models, function(x) summary(x)$coef["x","Std. Error"])
## sigma
sapply(CL0$Models, function(x) summary(x)$sigma)
predict(CL0)

CL1 <- chainladder(RAA, delta=1)

## age-to-age factors
sapply(CL1$Models, function(x) summary(x)$coef["x","Estimate"])
## f.se
sapply(CL1$Models, function(x) summary(x)$coef["x","Std. Error"])
## sigma
sapply(CL1$Models, function(x) summary(x)$sigma)
predict(CL1)

CL2 <- chainladder(RAA, delta=2)

## age-to-age factors
sapply(CL2$Models, function(x) summary(x)$coef["x","Estimate"])
## f.se
sapply(CL2$Models, function(x) summary(x)$coef["x","Std. Error"])
## sigma
sapply(CL2$Models, function(x) summary(x)$sigma)
predict(CL2)

## Set 'weights' parameter to use only the last 5 diagonals,

## i.e. the last 5 calendar years
calPeriods <- (row(RAA) + col(RAA) - 1)
(weights <- ifelse(calPeriods <= 5, 0, ifelse(calPeriods > 10, NA, 1)))
CL3 <- chainladder(RAA, weights=weights)
summary(CL3$Models[[1]])$coef
predict(CL3)

checkTriangleInflation
Check Y-o-Y Triangle Inflation Rates

Description
Check for Year-on-Year Inflation rates down the columns of a run-off triangle

Usage
checkTriangleInflation(Triangle)
18 checkTriangleInflation

Arguments

Triangle average claim amounts triangle. Assume columns are the development period,
use transpose otherwise. A (mxn)-matrix Cik which is filled for k ≤ n + 1 −
i; i = 1, . . . , m; m ≥ n, see qpaid for how to use (mxn)-development triangles
with m<n, say higher development period frequency (e.g quarterly) than origin
period frequency (e.g accident years).

Details

The sensitivity of projections of ultimate losses based on incurred loss development factors to
changes in the adequacy level of case reserves increases significantly for the long-tail lines. In
particular, if the adequacy of the case reserve is changing, the estimates of ultimate losses based on
reported claims could be severely distorted.
The function fits an exponential inflation model that takes the form of:

Y = a ∗ (1 + b)x

where Y represents the inflated claim amount, a represents the claim amount at the beginning of
each period (e.g. AY=0), b is the inflation rate and x is the time (e.g. AY).
Fitting such a model on the average level of the case outstanding (or any other average claim
amount) for each development period, it is possible to appreciate the inflation rate that has affected
the average case reserve.
It is necessary to check the inflation on average amounts, otherwise the estimates may be distorted
due to an increase in the number of claims rather than an actual increase in the inflation level.
If the level of inflation is material, it would be necessary to adjust each cell in the triangle.
This is to to have each diagonal in the triangle at the same level as the latest diagonal (i.e. latest
valuation). This adjustment would prevent distortions in the estimates caused by inflation and not
by actual variations in the claim experience.

Value

checkTriangleInflation returns a list with the following elements

Triangle Input triangle

summ_table summary table showing the inflation rate, the R2 of the regression and the num-
ber of points used

Author(s)

Marco De Virgilis <[email protected]>

References

Berquist, J.R. and Sherman, R.E., Loss Reserve Adequacy Testing: A Comprehensive, Systematic
Approach, Proceedings of the Casualty Actuarial Society, LXIV, 1977, pp.123-184.
ClarkCapeCod 19

See Also
See also qpaid for dealing with non-square triangles, inflateTriangle to inflate a triangle based
on an inflation rate,

Examples
# Create a triangle of average outstanding claims as the ratio between O/S Claims
# and Open Claims (i.e. the number of outstanding claims)
avg <- MedMal$MedMalOutstanding / MedMal$MedMalOpen

# Check the level of average inflation Y-o-Y

test<-checkTriangleInflation(avg)

# Plot the results

# A model of exponential inflation fits quite well the level of average O/S claims
# This is particularly evident for DP 1,2,3
plot(test)

# Get the summary in an analytical way to observe the ratios and the number of points used
summary(test)

# Print the output

print(test)
# There is an inflation level equal to .15 at the first development period. It would be
# appropriate to adjust the triangle before proceeding with any estimate method.

ClarkCapeCod Clark Cape Cod method

Description
Analyze loss triangle using Clark’s Cape Cod method.

Usage
ClarkCapeCod(Triangle, Premium, cumulative = TRUE, maxage = Inf,
adol = TRUE, adol.age = NULL, origin.width = NULL,
G = "loglogistic")

Premium The vector of premium to use in the method. If a scalar (vector of length 1) is
given, that value will be used for all origin periods. (See "Examples" below.) If
the length is greater than 1 but does not equal the number of rows of Triangle
the Premium values will be "recycled" with a warning.
cumulative If TRUE (the default), values in Triangle are inception to date. If FALSE, Triangle
holds incremental losses.
maxage The "ultimate" age to which losses should be projected.
adol If TRUE (the default), the growth function should be applied to the length of time
from the average date of loss ("adol") of losses in the origin year. If FALSE, the
growth function should be applied to the length of time since the beginning of
the origin year.
adol.age Only pertinent if adol is TRUE. The age of the average date of losses within an
origin period in the same units as the "ages" of the Triangle matrix. If NULL
(the default) it will be assumed to be half the width of an origin period (which
would be the case if losses can be assumed to occur uniformly over an origin
period).
origin.width Only pertinent if adol is TRUE. The width of an origin period in the same units
as the "ages" of the Triangle matrix. If NULL (the default) it will be assumed
to be the mean difference in the "ages" of the triangle, with a warning if not all
differences are equal.
G A character scalar identifying the "growth function." The two growth func-
tions defined at this time are "loglogistic" (the default) and "weibull".

Details
Clark’s "Cape Cod" method assumes that the incremental losses across development periods in a
loss triangle are independent. He assumes that the expected value of an incremental loss is equal to
the theoretical expected loss ratio (ELR) times the on-level premium for the origin year times the
change in the theoretical underlying growth function over the development period. Clark models
the growth function, also called the percent of ultimate, by either the loglogistic function (a.k.a.,
"the inverse power curve") or the weibull function. Clark completes his incremental loss model
by wrapping the expected values within an overdispersed poisson (ODP) process where the "scale
factor" sigma^2 is assumed to be a known constant for all development periods.
The parameters of Clark’s "Cape Cod" method are therefore: ELR, and omega and theta (the pa-
rameters of the loglogistic and weibull growth functions). Finally, Clark uses maximum likelihood
to parameterize his model, uses the ODP process to estimate process risk, and uses the Cramer-Rao
theorem and the "delta method" to estimate parameter risk.
Clark recommends inspecting the residuals to help assess the reasonableness of the model relative
to the actual data (see plot.clark below).

Value
A list of class "ClarkLDF" with the components listed below. ("Key" to naming convention:
all caps represent parameters; mixed case represent origin-level amounts; all-lower-case represent
observation-level (origin, development age) results.)

method "CapeCod"
ClarkCapeCod 21

growthFunction name of the growth function

Origin names of the rows of the triangle
Premium Premium amount for each origin year
CurrentValue the most mature value for each row
CurrentAge the most mature "age" for each row
CurrentAge.used
the most mature age used; differs from "CurrentAge" when adol=TRUE
MAXAGE same as ’maxage’ argument
MAXAGE.USED the maximum age for development from the average date of loss; differs from
MAXAGE when adol=TRUE
FutureValue the projected loss amounts ("Reserves" in Clark’s paper)
ProcessSE the process standard error of the FutureValue
ParameterSE the parameter standard error of the FutureValue
StdError the total standard error (process + parameter) of the FutureValue
Total a list with amounts that appear on the "Total" row for components "Origin"
(="Total"), "CurrentValue", "FutureValue", "ProcessSE", "ParameterSE", and
"StdError"
PAR the estimated parameters
ELR the estimated loss ratio parameter
THETAG the estimated parameters of the growth function
GrowthFunction value of the growth function as of the CurrentAge.used
GrowthFunctionMAXAGE
value of the growth function as of the MAXAGE.used
FutureGrowthFactor
the ("unreported" or "unpaid") percent of ultimate loss that has yet to be recorded
SIGMA2 the estimate of the sigma^2 parameter
Ldf the "to-ultimate" loss development factor (sometimes called the "cumulative de-
velopment factor") as defined in Clark’s paper for each origin year
LdfMAXAGE the "to-ultimate" loss development factor as of the maximum age used in the
model
TruncatedLdf the "truncated" loss development factor for developing the current diagonal to
the maximum age used in the model
FutureValueGradient
the gradient of the FutureValue function
origin the origin year corresponding to each observed value of incremental loss
age the age of each observed value of incremental loss
fitted the expected value of each observed value of incremental loss (the "mu’s" of
Clark’s paper)
residuals the actual minus fitted value for each observed incremental loss
stdresid the standardized residuals for each observed incremental loss (= residuals/sqrt(sigma2*fitted),
referred to as "normalized residuals" in Clark’s paper; see p. 62)
22 ClarkCapeCod

FI the "Fisher Information" matrix as defined in Clark’s paper (i.e., without the
sigma^2 value)
value the value of the loglikelihood function at the solution point
counts the number of calls to the loglikelihood function and its gradient function when
numerical convergence was achieved

Author(s)
Daniel Murphy

References
Clark, David R., "LDF Curve-Fitting and Stochastic Reserving: A Maximum Likelihood Ap-
proach", Casualty Actuarial Society Forum, Fall, 2003 https://www.casact.org/sites/default/
files/database/forum_03fforum_03ff041.pdf

# Clark's "CapeCod method" also works with triangles that have

# more development periods than origin periods. The Premium
# is a contrived match to the "made up" 'qincurred' Triangle.
ClarkCapeCod(qincurred, Premium=1250+150*0:11, G="loglogistic")

# Method also works for a "triangle" with only one row:

# 1st row of GenIns; need "drop=FALSE" to avoid becoming a vector.
ClarkCapeCod(GenIns[1, , drop=FALSE], Premium=1000000, maxage=20)

# If one value of Premium is appropriate for all origin years

# (e.g., losses are on-level and adjusted for exposure)
# then only a single value for Premium need be provided.
ClarkCapeCod(GenIns, Premium=1000000, maxage=20)

# Use of the weibull function generates a warning that the parameter risk
# approximation results in some negative variances. This may be of small
# concern since it happens only for older years with near-zero
# estimated reserves, but the warning should not be disregarded
# if it occurs with real data.
Y <- ClarkCapeCod(qincurred, Premium=1250+150*0:11, G="weibull")

# The plot of the standardized residuals by age indicates that the more
# mature observations are more loosely grouped than the less mature, just
# the opposite of the behavior under the loglogistic curve.
ClarkLDF 23

# This suggests that the model might be improved by analyzing the Triangle
# in two different "blocks": less mature vs. more mature.
# The QQ-plot shows that the tails of the empirical distribution of
# standardized residuals are "fatter" than a standard normal.
# The fact that the p-value is essentially zero says that there is
# virtually no chance that the standardized residuals could be
# considered draws from a standard normal random variable.
# The overall conclusion is that Clark's ODP-based CapeCod model with
# the weibull growth function does not match up well with the qincurred
# triangle and these premiums.
plot(Y)

ClarkLDF Clark LDF method

Description
Analyze loss triangle using Clark’s LDF (loss development factor) method.

Usage
ClarkLDF(Triangle, cumulative = TRUE, maxage = Inf,
adol = TRUE, adol.age = NULL, origin.width = NULL,
G = "loglogistic")

Arguments
Triangle A loss triangle in the form of a matrix. The number of columns must be at least
four; the number of rows may be as few as 1. The column names of the matrix
should be able to be interpreted as the "age" of the losses in that column. The
row names of the matrix should uniquely define the year of origin of the losses
in that row. Losses may be inception-to-date or incremental.
The "ages" of the triangle can be "phase shifted" – i.e., the first age need not
be as at the end of the origin period. (See the Examples section.) Nor need the
"ages" be uniformly spaced. However, when the ages are not uniformly spaced,
it would be prudent to specify the origin.width argument.
cumulative If TRUE (the default), values in Triangle are inception to date. If FALSE, Triangle
holds incremental losses.
maxage The "ultimate" age to which losses should be projected.
adol If TRUE (the default), the growth function should be applied to the length of time
from the average date of loss ("adol") of losses in the origin year. If FALSE, the
growth function should be applied to the length of time since the beginning of
the origin year.
adol.age Only pertinent if adol is TRUE. The age of the average date of losses within an
origin period in the same units as the "ages" of the Triangle matrix. If NULL
(the default) it will be assumed to be half the width of an origin period (which
would be the case if losses can be assumed to occur uniformly over an origin
period).
24 ClarkLDF

origin.width Only pertinent if adol is TRUE. The width of an origin period in the same units
as the "ages" of the Triangle matrix. If NULL (the default) it will be assumed
to be the mean difference in the "ages" of the triangle, with a warning if not all
differences are equal.
G A character scalar identifying the "growth function." The two growth func-
tions defined at this time are "loglogistic" (the default) and "weibull".

Details
Clark’s "LDF method" assumes that the incremental losses across development periods in a loss
triangle are independent. He assumes that the expected value of an incremental loss is equal to the
theoretical expected ultimate loss (U) (by origin year) times the change in the theoretical underlying
growth function over the development period. Clark models the growth function, also called the
percent of ultimate, by either the loglogistic function (a.k.a., "the inverse power curve") or the
weibull function. Clark completes his incremental loss model by wrapping the expected values
within an overdispersed poisson (ODP) process where the "scale factor" sigma^2 is assumed to be
a known constant for all development periods.
The parameters of Clark’s "LDF method" are therefore: U, and omega and theta (the parameters of
the loglogistic and weibull growth functions). Finally, Clark uses maximum likelihood to parame-
terize his model, uses the ODP process to estimate process risk, and uses the Cramer-Rao theorem
and the "delta method" to estimate parameter risk.
Clark recommends inspecting the residuals to help assess the reasonableness of the model relative
to the actual data (see plot.clark below).

method "LDF"
growthFunction name of the growth function
Origin names of the rows of the triangle
CurrentValue the most mature value for each row
CurrentAge the most mature "age" for each row
CurrentAge.used
the most mature age used; differs from "CurrentAge" when adol=TRUE
MAXAGE same as ’maxage’ argument
MAXAGE.USED the maximum age for development from the average date of loss; differs from
MAXAGE when adol=TRUE
FutureValue the projected loss amounts ("Reserves" in Clark’s paper)
ProcessSE the process standard error of the FutureValue
ParameterSE the parameter standard error of the FutureValue
StdError the total standard error (process + parameter) of the FutureValue
ClarkLDF 25

Total a list with amounts that appear on the "Total" row for components "Origin"
(="Total"), "CurrentValue", "FutureValue", "ProcessSE", "ParameterSE", and
"StdError"
PAR the estimated parameters
THETAU the estimated parameters for the "ultimate loss" by origin year ("U" in Clark’s
notation)
THETAG the estimated parameters of the growth function
GrowthFunction value of the growth function as of the CurrentAge.used
GrowthFunctionMAXAGE
value of the growth function as of the MAXAGE.used
SIGMA2 the estimate of the sigma^2 parameter
Ldf the "to-ultimate" loss development factor (sometimes called the "cumulative de-
velopment factor") as defined in Clark’s paper for each origin year
LdfMAXAGE the "to-ultimate" loss development factor as of the maximum age used in the
model
TruncatedLdf the "truncated" loss development factor for developing the current diagonal to
the maximum age used in the model
FutureValueGradient
the gradient of the FutureValue function
origin the origin year corresponding to each observed value of incremental loss
age the age of each observed value of incremental loss
fitted the expected value of each observed value of incremental loss (the "mu’s" of
Clark’s paper)
residuals the actual minus fitted value for each observed incremental loss
stdresid the standardized residuals for each observed incremental loss (= residuals/sqrt(sigma2*fitted),
referred to as "normalized residuals" in Clark’s paper; see p. 62)
FI the "Fisher Information" matrix as defined in Clark’s paper (i.e., without the
sigma^2 value)
value the value of the loglikelihood function at the solution point
counts the number of calls to the loglikelihood function and its gradient function when
numerical convergence was achieved

Author(s)
Daniel Murphy

# Clark's "LDF method" also works with triangles that have

# more development periods than origin periods
ClarkLDF(qincurred, G="loglogistic")

# Method also works for a "triangle" with only one row:

# 1st row of GenIns; need "drop=FALSE" to avoid becoming a vector.
ClarkLDF(GenIns[1, , drop=FALSE], maxage=20)

# The age of the first evaluation may be prior to the end of the origin period.
# Here the ages are in units of "months" and the first evaluation
# is at the end of the third quarter.
X <- GenIns
colnames(X) <- 12 * as.numeric(colnames(X)) - 3
# The indicated liability increases from 1st example above,
# but not significantly.
ClarkLDF(X, maxage=240)
# When maxage is infinite, the phase shift has a more noticeable impact:
# a 4-5% increase of the overall CV.
x <- ClarkLDF(GenIns, maxage=Inf)
y <- ClarkLDF(X, maxage=Inf)
# Percent change in the bottom line CV:
(tail(y$Table65$TotalCV, 1) - tail(x$Table65$TotalCV, 1)) / tail(x$Table65$TotalCV, 1)

CLFMdelta Find "selection consistent" values of delta

Description
This function finds the values of delta, one for each development period, such that the model coef-
ficients resulting from the ’chainladder’ function with delta = solution are consistent with an input
vector of ’selected’ development age-to-age factors.

Usage

CLFMdelta(Triangle, selected, tolerance = .0005, ...)

selected a vector of selected age-to-age factors or "link ratios", one for each development
period of ’Triangle’
tolerance a ’tolerance’ parameters. Default: .0005; for each element of ’selected’ a solu-
tion ’delta’ will be found – if possible – so that the chainladder model indexed by
’delta’ results in a multiplicative coefficient within ’tolerance’ of the ’selected’
factor.
... not in use

Details
For a given input Triangle and vector of selected factors, a search is conducted for chainladder mod-
els that are "consistent with" the selected factors. By "consistent with" is meant that the coefficients
of the chainladder function are equivalent to the selected factors. Not all vectors of selected fac-
tors can be considered consistent with a given Triangle; feasibility is subject to restrictions on the
’selected’ factors relative to the input ’Triangle’. See the References.
The default average produced by the chainladder function is the volume weighted average and
corresponds to delta = 1 in the call to that function; delta = 2 produces the simple average; and
delta = 0 produces the "regression average", i.e., the slope of a regression line fit to the data and
running through the origin. By convention, if the selected value corresponds to the volume-
weighted average, the simple average, or the regression average, then the value returned will be 1,
2, and 0, respectively.
Other real-number values for delta will produce a different average. The point of this function is
to see if there exists a model as determined by delta whose average is consistent with the value in
the selected vector. That is not always possible. See the References.
It can be the case that one or more of the above three "standard averages" will be quite close to
each other (indistinguishable within tolerance). In that case, the value returned will be, in the
following priority order by convention, 1 (volume weighted average), 2 (simple average), or 0
(regression average).

Value
A vector of real numbers, say delta0, such that coef(chainladder(Triangle,delta = delta0))
= selected within tolerance. A logical attribute ’foundSolution’ indicates if a solution was
found for each element of selected.

Author(s)
Dan Murphy

References
Bardis, Majidi, Murphy. A Family of Chain-Ladder Factor Models for Selected Link Ratios. Vari-
ance. Pending. Variance 6:2, 2012, pp. 143-160.

Examples

x <- RAA[1:9,1]
28 coef.ChainLadder

y <- RAA[1:9,2]
F <- y/x
CLFMdelta(RAA[1:9, 1:2], selected = mean(F)) # value is 2, 'foundSolution' is TRUE
CLFMdelta(RAA[1:9, 1:2], selected = sum(y) / sum(x)) # value is 1, 'foundSolution' is TRUE

selected <- mean(c(mean(F), sum(y) / sum(x))) # an average of averages

CLFMdelta(RAA[1:9, 1:2], selected) # about 1.725
CLFMdelta(RAA[1:9, 1:2], selected = 2) # negative solutions are possible

# Demonstrating an "unreasonable" selected factor.

CLFMdelta(RAA[1:9, 1:2], selected = 1.9) # NA solution, with warning

coef.ChainLadder Extract residuals of a ChainLadder model

Description
Extract residuals of a MackChainLadder model by origin-, calendar- and development period.

Usage
## S3 method for class 'ChainLadder'
coef(object, ...)

Arguments
object output of the chainladder function
... optional arguments which may become named attributes of the resulting vector

Value
The function returns a vector of the single-parameter coefficients – also called age-to-age (ATA) or
report-to-report (RTR) factors – of the models produced by running the ’chainladder’ function.

Author(s)
Dan Murphy

Cumulative and incremental triangles

Description
Functions to convert between cumulative and incremental triangles

Usage
incr2cum(Triangle, na.rm=FALSE)
cum2incr(Triangle)

Arguments
Triangle triangle. Assume columns are the development period, use transpose otherwise.
na.rm logical. Should missing values be removed?

Details
incr2cum transforms an incremental triangle into a cumulative triangle, cum2incr provides the
reserve operation.

Value
Both functions return a triangle.

Author(s)
Markus Gesmann, Christophe Dutang

# See the Taylor/Ashe example in Mack's 1993 paper

#original triangle
GenIns

#incremental triangle
cum2incr(GenIns)

#original triangle
incr2cum(cum2incr(GenIns))
30 cyEffTest

# See the example in Mack's 1999 paper

#original triangle
Mortgage
incMortgage <- cum2incr(Mortgage)
#add missing values
incMortgage[1,1] <- NA
incMortgage[2,1] <- NA
incMortgage[1,2] <- NA

#with missing values argument

incr2cum(incMortgage, na.rm=TRUE)

#compared to
incr2cum(Mortgage)

cyEffTest Testing for Calendar Year Effect

Description
One of the three basic assumptions underlying the chain ladder method is the independence of the
accident years. The function tests this assumption.

Usage
cyEffTest(Triangle, ci = 0.95)

Details
The main reason why this independence can be violated in practice is the fact that there could
be certain calendar year effects such as major changes in claims handling or in case reserving or
external influences such as substantial changes in court decisions or inflation.
As described by the Mack’s 1994 paper a procedure is designed to test for calendar year influences.
cyEffTest 31

The procedure returns a summary statistic Z which is assumed to be Normally Distributed. It is

therefore possible to define a confidence interval threshold in order to evaluate the outcome of the
test.

Value
cyEffTest returns a list with the following elements
test_table complete table of results
Z summary statistic
E expected value of the resulting distribution
Var variance of the resulting distribution
Range vector of the range corresponding the confidence interval threshold selected
ci confidence interval

Note
Additional references for further reading:
Thomas Mack. Distribution-free calculation of the standard error of chain ladder reserve estimates.
Astin Bulletin. Vol. 23. No 2. 1993. pp.213:225
Thomas Mack. The standard error of chain ladder reserve estimates: Recursive calculation and
inclusion of a tail factor. Astin Bulletin. Vol. 29. No 2. 1999. pp.361:366

Author(s)
Marco De Virgilis <[email protected]>

References
Mack, T., Measuring the Variability of Chain Ladder Reserve Estimates, Casualty Actuarial Society
Forum, Spring 1994

See Also
See also qpaid for dealing with non-square triangles, dfCorTest for the test for correlations be-
tween subsequent development factors, chainladder for the chain-ladder method, summary.cyEffTest,
plot.cyEffTest

Examples
# Before actually applying the Chain Ladder technique it is necessary to check
# wether the triangle has Calendar Year Effect

# Apply the function to the triangle and save the output into the variable test
test <- cyEffTest(RAA)

# Plot the confidence interval and the test metric

plot(test)
32 dfCorTest

# The metric is within the confidence interval, therefore the triangle doesn't
# have Calendar Year Effect

# Print the summary table

summary(test)

# Print only the main outcomes

print(test)
# The test has returned a negative outcome. This means that the triangle is
# not affected by Caledar Year Effect and therefore the chain ladder method
# can be applied.

dfCorTest Testing for Correlations between Subsequent Development Factors

Description
One of the main assumptions underlying the chain ladder method is the uncorrelation of subsequest
development factor. The function tests this assumption.

Usage
dfCorTest(Triangle, ci = .5)

Details
As described by the Mack’s 1994 paper a procedure is designed to test for calendar year influences.
The usual test for uncorrelatedness requires that we have identically distributed pairs of observations
which come from a Normal distribution. Both conditions are usually not fulfilled for adjacent
columns of development factors. Spearman’s correlation coefficient is therefore used.
The metric calulated by the procudeure described return a statistic T that it is assumed to be Nor-
mally Distributed. It is therefore possible to define a confidence interval threshold in order to
evaluate the outcome of the test.
dfCorTest 33

Value
dfCorTest returns a list with the following elements
T_stat summary statistic
Var variance of the resulting distribution
Range vector of the range corresponding the confidence interval threshold selected
ci confidence interval

Author(s)
Marco De Virgilis <[email protected]>

References
Mack, T., Measuring the Variability of Chain Ladder Reserve Estimates, Casualty Actuarial Society
Forum, Spring 1994

See Also
See also qpaid for dealing with non-square triangles, cyEffTest for the test for calendar year
effect, chainladder for the chain-ladder method, summary.dfCorTest, plot.dfCorTest

Examples
# Before actually applying the Chain Ladder technique it is necessary to check
# whether the Development Factors are correlated

# Apply the function to the triangle and save the output into the variable test
test <- dfCorTest(RAA)

# Plot the confidence interval and the test metric

plot(test)

# The metric is within the confidence interval, therefore the Development Factors are nor correlated

# Print the summary table

summary(test)

# Print only the main outcomes

34 GenIns

print(test)
# The test has returned a negative outcome. This means that the triangle is
# not affected by Development Factor Correlation and therefore the chain ladder method
# can be applied.

GenIns Run off triangle of claims data.

Description
Run off triangle of accumulated general insurance claims data. GenInsLong provides the same data
in a ’long’ format.

Usage
GenIns

Format
A matrix with 10 accident years and 10 development years.

Source
TAYLOR, G.C. and ASHE, F.R. (1983) Second Moments of Estimates of Outstanding Claims.
Journal of Econometrics 23, 37-61.

References
See table 1 in: Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Esti-
mates, Thomas Mack, 1993, ASTIN Bulletin 23, 213 - 225

Examples
GenIns
plot(GenIns)

plot(GenIns, lattice=TRUE)

head(GenInsLong)

## Convert long format into triangle

## Triangles are usually stored as 'long' tables in data bases
as.triangle(GenInsLong, origin="accyear", dev="devyear", "incurred claims")
getLatestCumulative 35

getLatestCumulative Triangle information for most recent calendar period.

Description
Return most recent values for all origin periods of a cumulative development triangle.

Usage
getLatestCumulative(Triangle, na.values = NULL)

Arguments
Triangle a Triangle in matrix format.
na.values a vector specifying values that should be considered synonymous with NA when
searching for the rightmost non-NA.

Value
A vector of most recent non-’NA’ (and synonyms, if appropriate) values of a triangle for all origin
periods. The names of the vector equal the origin names of the Triangle. The vector will have
additional attributes: "latestcol" equalling the index of the column in Triangle corresponding to the
row’s rightmost entry; "rowsname" equalling the name of the row dimension of Triangle, if any;
"colnames" equalling the corresponding column name of Triangle, if any; "colsname" equalling the
name of the column dimension of Triangle, if any.

Author(s)
Ben Escoto, Markus Gesmann, Dan Murphy

glmReserve GLM-based Reserving Model

Description
This function implements loss reserving models within the generalized linear model framework. It
takes accident year and development lag as mean predictors in estimating the ultimate loss reserves,
and provides both analytical and bootstrapping methods to compute the associated prediction errors.
The bootstrapping approach also generates the full predictive distribution for loss reserves.

Usage
glmReserve(triangle, var.power = 1, link.power = 0, cum = TRUE,
mse.method = c("formula", "bootstrap"), nsim = 1000, nb = FALSE, ...)

Details
This function takes an insurance loss triangle, converts it to incremental losses internally if nec-
essary, transforms it to the long format (see as.data.frame) and fits the resulting loss data with
a generalized linear model where the mean structure includes both the accident year and the de-
velopment lag effects. The distributions allowed are the exponential family that admits a power
glmReserve 37

variance function, that is, V (µ) = µp . This subclass of distributions is usually called the Tweedie
distribution and includes many commonly used distributions as special cases.
This function does not allow the user to specify the GLM options through the usual family ar-
gument, but instead, it uses the tweedie family internally and takes two arguments, var.power
and link.power, through which the user still has full control of the distribution forms and link
functions. The argument var.power determines which specific distribution is to be used, and
link.power determines the form of the link function.
When the Tweedie compound Poisson distribution 1 < p < 2 is to be used, the user has the option
to specify var.power = NULL, where the variance power p will be estimated from the data using
the cplm package. The bcplm function in the cplm package also has an example for the Bayesian
compound Poisson loss reserving model. See details in tweedie, cpglm and bcplm.
glmReserve allows certain measures of exposures to be used in an offset term in the underlying
GLM. To do this, the user should not use the usual offset argument in glm. Instead, one specifies
the exposure measure for each accident year through the exposure attribute of triangle. Make
sure that these exposures are in the original scale (no log transformations for example). If the vector
is named, make sure the names coincide with the rownames/origin of the triangle. If the vector
is unnamed, make sure the exposures are in the order consistent with the accident years, and the
character rownames of the Triangle must be convertible to numeric. If the exposure attribute
is not NULL, the glmReserve function will use these exposures, link-function-transformed, in the
offset term of the GLM. For example, if the link function is log, then the log of the exposure is
used as the offset, not the original exposure. See the examples below. Moreover, the user MUST
NOT supply the typical offset or weight as arguments in the list of additional arguments ....
offset should be specified as above, while weight is not implemented (due to prediction reasons).
Two methods are available to assess the prediction error of the estimated loss reserves. One is using
the analytical formula (mse.method = "formula") derived from the first-order Taylor approxima-
tion. The other is using bootstrapping (mse.method = "bootstrap") that reconstructs the triangle
nsim times by sampling with replacement from the GLM (Pearson) residuals. Each time a new
triangle is formed, GLM is fitted and corresponding loss reserves are generated. Based on these
predicted mean loss reserves, and the model assumption about the distribution forms, realizations
of the predicted values are generated via the rtweedie function. Prediction errors as well as other
uncertainty measures such as quantiles and predictive intervals can be calculated based on these
samples.

Value
The output is an object of class "glmReserve" that has the following components:

call the matched call.

summary A data frame containing the predicted loss reserve statistics. Similar to the sum-
mary statistics from MackChainLadder.
Triangle The input triangle.
FullTriangle The completed triangle, where empty cells in the original triangle are filled with
model predictions.
model The fitted GLM, a class of "glm" or "cpglm". It is most convenient to work
with this component when model fit information is wanted.
sims.par a matrix of the simulated parameter values in the bootstrapping.
38 glmReserve

sims.reserve.mean
a matrix of the simulated mean loss reserves (without the process variance) for
each year in the bootstrapping.
sims.par a matrix of the simulated realizations of the loss reserves (with the process vari-
ance) for each year in the bootstrapping. This can be used to summarize the
predictive uncertainty of the loss reserves.

Note

The use of GLM in insurance loss reserving has many compelling aspects, e.g.,

• when over-dispersed Poisson model is used, it reproduces the estimates from Chain Ladder;
• it provides a more coherent modeling framework than the Mack method;
• all the relevant established statistical theory can be directly applied to perform hypothesis
testing and diagnostic checking;

However, the user should be cautious of some of the key assumptions that underlie the GLM model,
in order to determine whether this model is appropriate for the problem considered:

• the GLM model assumes no tail development, and it only projects losses to the latest time
point of the observed data. To use a model that enables tail extrapolation, please consider the
growth curve model ClarkLDF or ClarkCapeCod;
• the model assumes that each incremental loss is independent of all the others. This assumption
may not be valid in that cells from the same calendar year are usually correlated due to inflation
or business operating factors;
• the model tends to be over-parameterized, which may lead to inferior predictive performance.

To solve these potential problems, many variants of the current basic GLM model have been pro-
posed in the actuarial literature. Some of these may be included in the future release.
Support of the negative binomial GLM was added since version 0.2.3.

Author(s)

Wayne Zhang <[email protected]>

References

England P. and Verrall R. (1999). Analytic and bootstrap estimates of prediction errors in claims
reserving. Insurance: Mathematics and Economics, 25, 281-293.

See Also

# over-dispersed Poisson: reproduce ChainLadder estimates

(fit1 <- glmReserve(GenIns))
summary(fit1, type = "model") # extract the underlying glm

# which:
# 1 Original triangle
# 2 Full triangle
# 3 Reserve distribution
# 4 Residual plot
# 5 QQ-plot

# plot original triangle

plot(fit1, which = 1, xlab = "dev year", ylab = "cum loss")

# plot residuals
plot(fit1, which = 4, xlab = "fitted values", ylab = "residuals")

# Gamma GLM:
(fit2 <- glmReserve(GenIns, var.power = 2))

# compound Poisson GLM (variance function estimated from the data):

(fit3 <- glmReserve(GenIns, var.power = NULL))

# Now suppose we have an exposure measure

# we can put it as an offset term in the model
# to do this, use the "exposure" attribute of the 'triangle'
expos <- (7 + 1:10 * 0.4) * 100
GenIns2 <- GenIns
attr(GenIns2, "exposure") <- expos
(fit4 <- glmReserve(GenIns2))
# If the triangle's rownames are not convertible to numeric,
# supply names to the exposures
GenIns3 <- GenIns2
rownames(GenIns3) <- paste0(2007:2016, "-01-01")
names(expos) <- rownames(GenIns3)
attr(GenIns3, "exposure") <- expos
(fit4b <- glmReserve(GenIns3))

# use bootstrapping to compute prediction error

## Not run:
set.seed(11)
(fit5 <- glmReserve(GenIns, mse.method = "boot"))

# compute the quantiles of the predicted loss reserves

t(apply(fit5$sims.reserve.pred, 2, quantile,
c(0.025, 0.25, 0.5, 0.75, 0.975)))

# plot distribution of reserve

40 inflateTriangle

plot(fit5, which = 3)

## End(Not run)

# alternative over-dispersed Poisson: negative binomial GLM

(fit6 <- glmReserve(GenIns, nb = TRUE))

inflateTriangle Inflate a Triangle based on an Inflation Rate

Description
Inflate the amounts of a Triangle from the latest diagonal based on an Inflation Rate

Usage
inflateTriangle(Triangle, rate)

Arguments
Triangle claim triangle. Assume columns are the development period, use transpose oth-
erwise. A (mxn)-matrix Cik which is filled for k ≤ n+1−i; i = 1, . . . , m; m ≥
n, see qpaid for how to use (mxn)-development triangles with m<n, say higher
development period frequency (e.g quarterly) than origin period frequency (e.g
accident years).
rate Inflation rate to be applied to the triangle according to an exponential model

Details
The sensitivity of projections of ultimate losses based on incurred loss development factors to
changes in the adequacy level of case reserves increases significantly for the long-tail lines. In
particular, if the adequacy of the case reserve is changing, the estimates of ultimate losses based on
reported claims could be severely distorted. The function deflates the amounts of latest diagonal
to each diagonal of the triangle according to the inflation rate provided, considering an exponential
model. The purpose of restating the amounts is to have each diagonal in the triangle at the same
level as the latest diagonal (i.e. latest valuation). Ideally the metrics that should be restated are
average O/S or average claim paid.

Value
inflateTriangle returns the inflated triangle according to the provided rate

Author(s)
Marco De Virgilis <[email protected]>
Join2Fits 41

References
Berquist, J.R. and Sherman, R.E., Loss Reserve Adequacy Testing: A Comprehensive, Systematic
Approach, Proceedings of the Casualty Actuarial Society, LXIV, 1977, pp.123-184.

See Also
See also qpaid for dealing with non-square triangles, checkTriangleInflation to check Y-o-Y
Triangle Inflation Rates,

Examples
# Create a Triangle of Average Case O/S

avg <- MedMal$MedMalOutstanding / MedMal$MedMalOpen

# Select a rate of 15% and inflate the average =/S Triangle

inflated_tr <- inflateTriangle(Triangle = avg, rate = .15)

# Multiply it by open claims and add paymnets to calulate the adjusted Reported Claims Trinagle

adj_reported <- inflated_tr * MedMal$MedMalOpen + MedMal$MedMalPaid

# Calculate the IBNR from the unadjusted Triangle

std_ibnr <- summary(MackChainLadder(MedMal$MedMalReported))$Totals[4, 1]

# Calculate the IBNR from the adjusted Triangle

adj_reported_ibnr <- summary(MackChainLadder(adj_reported))$Totals[4, 1]

# Compare the two

std_ibnr - adj_reported_ibnr

Join2Fits Join Two Fitted MultiChainLadder Models

Description
This function is created to facilitate the fitting of the multivariate functions when specifying different
models in two different development periods, especially when separate chain-ladder is used in later
periods.

Usage
Join2Fits(object1, object2)
42 JoinFitMse

Arguments
object1 An object of class "MultiChainLadder"
object2 An object of class "MultiChainLadder"

Details
The inputs must be of class "MultiChainLadder" because this function depends on the model slot
to determine what kind of object is to be created and returned. If both objects have "MCL", then an
object of class "MCLFit" is created; if one has "GMCL" and one has "MCL", then an object of class
"GMCLFit" is created, where the one with "GMCL" is assumed to come from the first development
periods; if both have "GMCL", then an object of class "GMCLFit" is created.

Author(s)
Wayne Zhang <[email protected]>

JoinFitMse Join Model Fit and Mse Estimation

Description
This function combines first momoent estimation from fitted regression models and second moment
estimation from Mse method to construct an object of class "MultiChainLadder", for which a variety
of methods are defined, such as summary and plot.

Usage
JoinFitMse(models, mse.models)

Arguments
models fitted regression models, either of class "MCLFit" or "GMCLFit".
mse.models output from a call to Mse, which is of class "MultiChainLadderMse".

Author(s)
Wayne Zhang <[email protected]>

See Also
See also MultiChainLadder.
liab 43

liab Run off triangle of accumulated claim data

Description
Run-off triangles of General Liability and Auto Liability.

Usage
data(auto)

Format
A list of two matrices, General Liability and Auto Liability respectively.

Source
Braun C (2004). The prediction error of the chain ladder method applied to correlated run off
triangles. ASTIN Bulletin 34(2): 399-423

Examples
data(liab)
names(liab)

LRfunction Calculate the Link Ratio Function

Description
This calculates the link ratio function per the CLFM paper.

Usage
LRfunction(x, y, delta)

Arguments
x beginning value of loss during a development period
y ending value of loss during a development period
delta numeric

Details
Calculated the link ratios resulting from a chainladder model over a development period indexed by
(possibly vector valued) real number delta. See formula (5) in the References.
44 M3IR5

Value
A vector of link ratios.

Author(s)
Dan Murphy

References
Bardis, Majidi, Murphy. A Family of Chain-Ladder Factor Models for Selected Link Ratios. Vari-
ance. Pending. 2013. pp.tbd:tbd

Examples

x <- RAA[1:9,1]
y <- RAA[1:9,2]
delta <- seq(-2, 2, by = .1)
plot(delta, LRfunction(x, y, delta), type = "l")

M3IR5 Run off triangle of claims data

Description
Run off triangle of simulated incremental claims data

Usage
data(M3IR5)

Format
A matrix with simulated incremental claims of 14 accident years and 14 development years.

Source
Appendix A7 in B. Zehnwirth. Probabilistic Development Factor Models with Applications to
Loss Reserve Variability, Prediction Intervals, and Risk Based Capital. Casualty Actuarial Science
Forum. Spring 1994. Vol. 2.

Examples

M3IR5
plot(M3IR5)
plot(incr2cum(M3IR5), lattice=TRUE)
MackChainLadder 45

MackChainLadder Mack Chain-Ladder Model

Description
The Mack chain-ladder model forecasts future claims developments based on a historical cumula-
tive claims development triangle and estimates the standard error around those.

Usage
MackChainLadder(Triangle, weights = 1, alpha=1, est.sigma="log-linear",
tail=FALSE, tail.se=NULL, tail.sigma=NULL, mse.method="Mack")

Arguments
Triangle cumulative claims triangle. Assume columns are the development period, use
transpose otherwise. A (mxn)-matrix Cik which is filled for k ≤ n + 1 − i; i =
1, . . . , m; m ≥ n, see qpaid for how to use (mxn)-development triangles with
m<n, say higher development period frequency (e.g quarterly) than origin period
frequency (e.g accident years).
weights weights. Default: 1, which sets the weights for all triangle entries to 1. Other-
wise specify weights as a matrix of the same dimension as Triangle with all
weight entries in [0; 1]. Hence, any entry set to 0 or NA eliminates that age-to-age
factor from inclusion in the model. See also ’Details’
alpha ’weighting’ parameters. Default: 1 for all development periods; alpha=1 gives
the historical chain-ladder age-to-age factors, alpha=0 gives the straight average
of the observed individual development factors and alpha=2 is the result of an
ordinary regression of Ci,k+1 against Ci,k with intercept 0, see also ’Details’
below, chainladder and Mack’s 1999 paper
est.sigma defines how to estimate sigman−1 , the variability of the individual age-to-age
factors at development time n − 1. Default is "log-linear" for a log-linear regres-
sion, "Mack" for Mack’s approximation from his 1999 paper. Alternatively the
user can provide a numeric value. If the log-linear model appears to be inappro-
priate (p-value > 0.05) the ’Mack’ method will be used instead and a warning
message printed. Similarly, if Triangle is so small that log-linear regression is
being attempted on a vector of only one non-NA average link ratio, the ’Mack’
method will be used instead and a warning message printed.
tail can be logical or a numeric value. If tail=FALSE no tail factor will be ap-
plied, if tail=TRUE a tail factor will be estimated via a linear extrapolation of
log(chain − ladderf actors − 1), if tail is a numeric value than this value will
be used instead.
tail.se defines how the standard error of the tail factor is estimated. Only needed if
a tail factor > 1 is provided. Default is NULL. If tail.se is NULL, tail.se is
estimated via "log-linear" regression, if tail.se is a numeric value than this
value will be used instead.
46 MackChainLadder

tail.sigma defines how to estimate individual tail variability. Only needed if a tail factor >
1 is provided. Default is NULL. If tail.sigma is NULL, tail.sigma is estimated
via "log-linear" regression, if tail.sigma is a numeric value than this value will
be used instead
mse.method method used for the recursive estimate of the parameter risk component of the
mean square error. Value "Mack" (default) coincides with Mack’s formula;
"Independence" includes the additional cross-product term as in Murphy and
BBMW. Refer to References below.

Details
Following Mack’s 1999 paper let Cik denote the cumulative loss amounts of origin period (e.g.
accident year) i = 1, . . . , m, with losses known for development period (e.g. development year)
k ≤ n + 1 − i. In order to forecast the amounts Cik for k > n + 1 − i the Mack chain-ladder-model
assumes:
Ci,k+1
CL1: E[Fik |Ci1 , Ci2 , . . . , Cik ] = fk with Fik =
Cik

Ci,k+1 σk2
CL2: V ar( |Ci1 , Ci2 , . . . , Cik ) = α
Cik wik Cik

CL3: {Ci1 , . . . , Cin }, {Cj1 , . . . , Cjn }, are independent for origin period i 6= j
with wik ∈ [0; 1], α ∈ {0, 1, 2}. If these assumptions hold, the Mack chain-ladder gives an unbiased
estimator for IBNR (Incurred But Not Reported) claims.
Here wik aretheweightsf romabove.
The Mack chain-ladder model can be regarded as a special form of a weighted linear regression
through the origin for each development period: lm(y ~ x + 0,weights=weights/x^(2-alpha)),
where y is the vector of claims at development period k + 1 and x is the vector of claims at devel-
opment period k.
It is necessary, before actually applying the model, to check if the main assumptions behind the
model (i.e. Calendar Year Effect and Correlation between subsequent Accident Years, see dfCorTest,
cyEffTest) are verified.

Value
MackChainLadder returns a list with the following elements

call matched call

Triangle input triangle of cumulative claims
FullTriangle forecasted full triangle
Models linear regression models for each development period
f chain-ladder age-to-age factors
f.se standard errors of the chain-ladder age-to-age factors f (assumption CL1)
F.se standard errors of the true chain-ladder age-to-age factors Fik (square root of
the variance in assumption CL2)
MackChainLadder 47

sigma sigma parameter in CL2

Mack.ProcessRisk
variability in the projection of future losses not explained by the variability of
the link ratio estimators (unexplained variation)
Mack.ParameterRisk
variability in the projection of future losses explained by the variability of the
link-ratio estimators alone (explained variation)
Mack.S.E total variability in the projection of future losses by the chain-ladder method; the
square root of the mean square error of the chain-ladder estimate: Mack.S.E.2 =
Mack.ProcessRisk2 + Mack.ParameterRisk2
Total.Mack.S.E total variability of projected loss for all origin years combined
Total.ProcessRisk
vector of process risk estimate of the total of projected loss for all origin years
combined by development period
Total.ParameterRisk
vector of parameter risk estimate of the total of projected loss for all origin years
combined by development period
weights weights used
alpha alphas used
tail tail factor used. If tail was set to TRUE the output will include the linear model
used to estimate the tail factor

Note
Additional references for further reading:
England, PD and Verrall, RJ. Stochastic Claims Reserving in General Insurance (with discussion),
British Actuarial Journal 8, III. 2002
Barnett and Zehnwirth. Best estimates for reserves. Proceedings of the CAS, LXXXVI I(167),
November 2000.

Author(s)
Markus Gesmann <[email protected]>

See Also
See also qpaid for dealing with non-square triangles, chainladder for the underlying chain-ladder
method, dfCorTest to check for Calendar Year Effect, cyEffTest to check for Development Factor
Correlation, summary.MackChainLadder, quantile.MackChainLadder, plot.MackChainLadder
and residuals.MackChainLadder displaying results, CDR.MackChainLadder for the one year
claims development result.

Examples
## See the Taylor/Ashe example in Mack's 1993 paper
GenIns
plot(GenIns)
plot(GenIns, lattice=TRUE)
GNI <- MackChainLadder(GenIns, est.sigma="Mack")
GNI$f
GNI$sigma^2
GNI # compare to table 2 and 3 in Mack's 1993 paper
plot(GNI)
plot(GNI, lattice=TRUE)

## Different weights
## Using alpha=0 will use straight average age-to-age factors
MackChainLadder(GenIns, alpha=0)$f
# You get the same result via:
apply(GenIns[,-1]/GenIns[,-10],2, mean, na.rm=TRUE)

## Only use the last 5 diagonals, i.e. the last 5 calendar years
calPeriods <- (row(GenIns) + col(GenIns) - 1)
(weights <- ifelse(calPeriods <= 5, 0, ifelse(calPeriods > 10, NA, 1)))
MackChainLadder(GenIns, weights=weights, est.sigma = "Mack")

## Tail
## See the example in Mack's 1999 paper
Mortgage
m <- MackChainLadder(Mortgage)
round(summary(m)$Totals["CV(IBNR)",], 2) ## 26% in Table 6 of paper
plot(Mortgage)
# Specifying the tail and its associated uncertainty parameters
MRT <- MackChainLadder(Mortgage, tail=1.05, tail.sigma=71, tail.se=0.02, est.sigma="Mack")
MRT
plot(MRT, lattice=TRUE)
# Specify just the tail and the uncertainty parameters will be estimated
MRT <- MackChainLadder(Mortgage, tail=1.05)
MRT$f.se[9] # close to the 0.02 specified above
MRT$sigma[9] # less than the 71 specified above
# Note that the overall CV dropped slightly
round(summary(MRT)$Totals["CV(IBNR)",], 2) ## 24%
# tail parameter uncertainty equal to expected value
MRT <- MackChainLadder(Mortgage, tail=1.05, tail.se = .05)
round(summary(MRT)$Totals["CV(IBNR)",], 2) ## 27%

## Parameter-risk (only) estimate of the total reserve = 3142387

MCLpaid 49

tail(MRT$Total.ParameterRisk, 1) # located in last (ultimate) element

# Parameter-risk (only) CV is about 19%
tail(MRT$Total.ParameterRisk, 1) / summary(MRT)$Totals["IBNR", ]

## Three terms in the parameter risk estimate

## First, the default (Mack) without the tail
m <- MackChainLadder(RAA, mse.method = "Mack")
summary(m)$Totals["Mack S.E.",]
## Then, with the third term
m <- MackChainLadder(RAA, mse.method = "Independence")
summary(m)$Totals["Mack S.E.",] ## Not significantly greater

## One year claims development results

M <- MackChainLadder(MW2014, est.sigma="Mack")
CDR(M)

## For more examples see:

## Not run:
demo(MackChainLadder)

## End(Not run)

MCLpaid Run off triangles of accumulated paid and incurred claims data.

Description
Run-off triangles based on a fire portfolio

Usage
data(MCLpaid)
data(MCLincurred)

Format
A matrix with 7 origin years and 7 development years.

Source
Gerhard Quarg and Thomas Mack. Munich Chain Ladder. Blatter DGVFM. 26, Munich, 2004.

Examples
MCLpaid
MCLincurred
op=par(mfrow=c(2,1))
plot(MCLpaid)
plot(MCLincurred)
par(op)
50 Mortgage

MedMal Run off triangles of accumulated claim data

Description
Run-off triangles of Medical Malpractice Data insurance.

Usage
data(MedMal)

Format
U.S. medical malpractice insurance for an experience period of 1969 to 1976. Reported Claims,
Paid Claims, Case Outstanding and Open Claims (i.e. the number of outstanding claims) respec-
tively

Source
Berquist, J.R. and Sherman, R.E., Loss Reserve Adequacy Testing: A Comprehensive, Systematic
Approach, Proceedings of the Casualty Actuarial Society, LXIV, 1977, pp.123-184.

Examples
data(MedMal)
names(MedMal)
MedMal$MedMalReported
MedMal$MedMalPaid
MedMal$MedMalOutstanding
MedMal$MedMalOpen

Mortgage Run off triangle of accumulated claims data

Description
Development triangle of a mortgage guarantee business

Usage
data(Mortgage)

Format
A matrix with 9 accident years and 9 development years.
Mse-methods 51

Source

Competition Presented at a London Market Actuaries Dinner, D.E.A. Sanders, 1990

References

See table 4 in: Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Esti-
mates, Thomas Mack, 1993, ASTIN Bulletin 23, 213 - 225

Examples

Mortgage
Mortgage
plot(Mortgage)
plot(Mortgage, lattice=TRUE)

Mse-methods Methods for Generic Function Mse

Description

Mse is a generic function to calculate mean square error estimations in the chain-ladder framework.

Usage

Mse(ModelFit, FullTriangles, ...)

## S4 method for signature 'GMCLFit,triangles'

Mse(ModelFit, FullTriangles, ...)
## S4 method for signature 'MCLFit,triangles'
Mse(ModelFit, FullTriangles, mse.method="Mack", ...)

Arguments

ModelFit An object of class "GMCLFit" or "MCLFit".

FullTriangles An object of class "triangles". Should be the output from a call of predict.
mse.method Character strings that specify the MSE estimation method. Only works for
"MCLFit". Use "Mack" for the generazliation of the Mack (1993) approach, and
"Independence" for the conditional resampling approach in Merz and Wuthrich
(2008).
... Currently not used.
52 Mse-methods

Details
These functions calculate the conditional mean square errors using the recursive formulas in Zhang
(2010), which is a generalization of the Mack (1993, 1999) formulas. In the GMCL model, the
conditional mean square error for single accident years and aggregated accident years are calcualted
as:
0
ˆ Ŷi,k+1 |D) = B̂k mse(
mse( ˆ Ŷi,k |D)B̂k + (Ŷi,k ⊗ I)Σ̂Bk (Ŷi,k ⊗ I) + Σ̂ik .

I
X I
X I
X I
X I
X
0
mse(
ˆ Ŷi,k+1 |D) = B̂k mse(
ˆ Ŷi,k |D)B̂k +( Ŷi,k ⊗I)Σ̂Bk ( Ŷi,k ⊗I)+ Σ̂ik .
i=ak i=ak +1 i=ak i=ak i=ak

In the MCL model, the conditional mean square error from Merz and Wüthrich (2008) is also
available, which can be shown to be equivalent as the following:

ˆ Ŷi,k+1 |D) = (β̂k β̂k0 ) mse(

mse( 0
ˆ Ŷi,k |D) + Σ̂βk (Ŷi,k Ŷi,k ˆ E (Ŷi,k |D).
) + Σ̂ik + Σ̂βk mse

I
X I
X I
X I
X I
X I
X
mse(
ˆ Ŷi,k+1 |D) = (β̂k β̂k0 ) ˆ Ŷi,k |D)+Σ̂βk (
mse( Ŷi,k 0
Ŷi,k )+ Σ̂ik +Σ̂βk ˆ E (Ŷi,k |D).
mse
i=ak i=ak +1 i=ak i=ak i=ak i=ak

ˆ E (Ŷi,k |D)in the above

For the Mack approach in the MCL model, the cross-product term Σ̂βk mse
two formulas will drop out.

Value
Mse returns an object of class "MultiChainLadderMse" that has the following elements:
mse.ay condtional mse for each accdient year
mse.ay.est conditional estimation mse for each accdient year
mse.ay.proc conditional process mse for each accdient year
mse.total condtional mse for aggregated accdient years
mse.total.est conditional estimation mse for aggregated accdient years
mse.total.proc conditional process mse for aggregated accdient years
FullTriangles completed triangles

Author(s)
Wayne Zhang <[email protected]>

References
Zhang Y (2010). A general multivariate chain ladder model.Insurance: Mathematics and Eco-
nomics, 46, pp. 588-599.
Zhang Y (2010). Prediction error of the general multivariate chain ladder model.

See Also
See also MultiChainLadder.
MultiChainLadder 53

MultiChainLadder Multivariate Chain-Ladder Models

Description
The function MultiChainLadder implements multivariate methods to forecast insurance loss pay-
ments based on several cumulative claims development triangles. These methods are multivariate
extensions of the chain-ladder technique, which develop several correlated triangles simultaneously
in a way that both contemporaneous correlations and structural relationships can be accounted for.
The estimated conditional Mean Square Errors (MSE) are also produced.

Usage
MultiChainLadder(Triangles, fit.method = "SUR", delta = 1,
int = NULL, restrict.regMat = NULL, extrap = TRUE,
mse.method = "Mack", model = "MCL", ...)

MultiChainLadder2(Triangles, mse.method = "Mack", last = 3,

type = c("MCL", "MCL+int", "GMCL-int", "GMCL"), ...)

Arguments
Triangles a list of cumulative claims triangles of the same dimensions.
fit.method the method used to fit the multivariate regression in each development period.
The default is "SUR" - seemingly unrelated regressions. When "OLS" (Ordinary
Least Squares) is used, this is the same as developing each triangle separately.
delta parameter for controlling weights. It is used to determine the covariance struc-
δ/2 δ/2
ture D(Yi,k )Σk D(Yi,k ). The default value 1 means that the variance is pro-
portional to the cumulative loss from the previous period.
int a numeric vector that indicates which development periods have intercepts spec-
ified. This only takes effect for model = "GMCL". The default NULL means that
no intercepts are specified.
restrict.regMat
a list of matrix specifying parameter restriction matrix for each period. This
is only used for model = "GMCL". The default value NULL means no restric-
tion is imposed on the development matrix. For example, if there are 3 trian-
gles, there will be 9 parameters in the development matrix for each period if
restrict.regMat = NULL. See systemfit for how to specify the appropriate
parameter constraints.
extrap a logical value indicating whether to use Mack’s extrapolation method for the
last period to get the residual variance estimation. It only takes effect for model
= "MCL". If the data are trapezoids, it is set to be FALSE automatically and a
warning message is given.
mse.method method to estimate the mean square error. It can be either "Mack" or "Independence",
which are the multivariate generalization of Mack’s formulas and the conditional
re-sampling approach, respectively.
54 MultiChainLadder

model the structure of the model to be fitted. It is either "MCL" or "GMCL". See details
below.
last an integer. The MultiChainLadder2 function splits the triangles into 2 parts
internally (see details below), and the last argument indicates how many of the
development periods in the tail go into the second part of the split. The default
is 3.
type the type of the model structure to be specified for the first part of the split model
in MultiChainLadder2. "MCL"- the multivariate chain-ladder with diagonal de-
velopment matrix; "MCL+int"- the multivariate chain-ladder with additional in-
tercepts; "GMCL-int"- the general multivariate chain-ladder without intercepts;
and "GMCL" - the full general multivariate chain-ladder with intercepts and non-
diagonal development matrix.
... arguments passed to systemfit.

Details
This function implements multivariate loss reserving models within the chain-ladder framework.
Two major models are included. One is the Multivariate chain-ladder (MCL) model proposed by
Prohl and Schmidt (2005). This is a direct multivariate generalization of the univariate chain-ladder
model in that losses from different triangles are assumed to be correlated but the mean development
in one triangle only depends on its past values, not on the observed values from other triangles. In
contrast, the other model, the General Multivariate chain-ladder (GMCL) model outlined in Zhang
(2010), extends the MCL model by allowing development dependencies among different triangles
as well as the inclusion of regression intercepts. As a result, structurally related triangles, such as
the paid and incurred loss triangles or the paid loss and case reserve triangles, can be developed
together while still accounting for the potential contemporaneous correlations. While the MCL
model is a special case of the GMCL model, it is programmed and listed separately because: a) it
is an important model for its own sake; b) different MSE methods are only available for the MCL
model; c) extrapolation of the residual variance estimation can be implemented for the MCL model,
which is considerably difficult for the GMCL model.
We introduce some details of the GMCL model in the following. Assume N triangles are available.
(1) (N )
Denote Yi,k = (Yi,k , . . . , Yi,k ) as an N × 1 vector of cumulative losses at accident year i and
development year k, where (n) refers to the n-th triangle. The GMCL model in development period
k (from development year k to year k+1) is:

Yi,k+1 = Ak + Bk · Yi,k + i,k ,

where Ak is a column of intercepts and Bk is the N × N development matrix. By default,

MultiChainLadder sets Ak to be zero. This behavior can be changed by appropriately specify-
ing the int argument. Assumptions for this model are:

E(i,k |Yi,1 , . . . , Yi,I+1−k ) = 0.

δ/2 δ/2
cov(i,k |Yi,1 , . . . , Yi,I+1−k ) = Σi,k = D(Yi,k )Σk D(Yi,k ).

losses of different accident years are independent.

i,k are symmetrically distributed.

MultiChainLadder 55

The GMCL model structure is generally over-parameterized. Parameter restrictions are usually
necessary for the estimation to be feasible, which can be specified through the restrict.regMat
argument. We refer the users to the documentation for systemfit for details and the demo of the
present function for examples.
In particular, if one restricts the development matrix to be diagonal, the GMCL model will reduce to
the MCL model. When non-diagonal development matrix is used and the GMCL model is applied
to paid and incurred loss triangles, it can reflect the development relationship between the two
triangles, as described in Quarg and Mack (2004). The full bivariate model is identical to the
"double regression" model described by Mack (2003), which is argued by him to be very similar to
the Munich chain-ladder (MuCL) model. The GMCL model with intercepts can also help improve
model adequacy as described in Barnett and Zehnwirth (2000).
Currently, the GMCL model only works for trapezoid data, and only implements mse.method
= "Mack". The MCL model allows an additional mse estimation method that assumes indepen-
dence among the estimated parameters. Further, the MCL model using fit.method = "OLS" will
be equivalent to running univariate chain-ladders separately on each triangle. Indeed, when only
one triangle is specified (as a list), the MCL model is equivalent to MackChainLadder.
The GMCL model allows different model structures to be specified in each development period.
This is generally achieved through the combination of the int argument, which specifies the periods
that have intercepts, and the restrict.regMat argument, which imposes parameter restrictions on
the development matrix.
In using the multivariate methods, we often specify separate univariate chain-ladders for the tail
periods to stabilize the estimation - there are few data points in the tail and running a multivariate
model often produces extremely volatile estimates or even fails. In this case, we can use the subset
operator "[" defined for class triangles to split the input data into two parts. We can specify a
multivariate model with rich structures on the first part to reflect the multivariate dependencies, and
simply apply multiple univariate chain-ladders on the second part. The two models are subsequently
joined together using the Join2Fits function. We can then invoke the predict and Mse methods
to produce loss predictions and mean square error estimations. They can further be combined via
the JoinFitMse function to construct an object of class MultiChainLadder. See the demo for such
examples.
To facilitate such a split-and-join process for most applications, we have created the function
MultiChainLadder2. This function splits the data according to the last argument (e.g., if last
= 3, the last three periods go into the second part), and fits the first part according to the structure
indicated in the type argument. See the ’Arguments’ section for details.

Value
MultiChainLadder returns an object of class MultiChainLadder with the following slots:

model the model structure used, either "MCL" or "GMCL"

Triangles input triangles of cumulative claims that are converted to class triangles inter-
nally.
models fitted models for each development period. This is the output from the call of
systemfit.
coefficients estimated regression coefficients or development parameters. They are put into
the matrix format for the GMCL model.
56 MultiChainLadder

coefCov estimated variance-covariance matrix for the regression coefficients.

residCov estimated residual covariance matrix.
fit.method multivariate regression estimation method
delta the value of delta
mse.ay mean square error matrix for each accident year
mse.ay.est estimation error matrix for each accident year
mse.ay.proc process error matrix for each accident year
mse.total mean square error matrix for all accident years combined
mse.total.est estimation error matrix for all accident years combined
mse.total.proc process error matrix for all accident years combined
FullTriangles the forecasted full triangles of class triangles
int intercept indicators

Note
When MultiChainLadder or MultiChainLadder2 fails, the most possible reason is that there is
little or no development in the tail periods. That is, the development factor is 1 or almost equal to 1.
In this case, the systemfit function may fail even for fit.method = "OLS", because the residual
covariance matrix Σk is singular. The simplest solution is to remove these columns using the "["
operator and fit the model on the remaining part.
Also, we recommend the use of MultiChainLadder2 over MultiChainLadder. The function
MultiChainLadder2 meets the need for most applications, is relatively easy to use and produces
more stable but very similar results to MultiChainLadder. Use MultiChainLadder only when
non-standard situation arises, e.g., when different parameter restrictions are needed for different
periods. See the demo for such examples.

Author(s)
Wayne Zhang <[email protected]>

References
Buchwalder M, Bühlmann H, Merz M, Wüthrich M.V (2006). The mean square error of prediction
in the chain-ladder reserving method (Mack and Murphy revisited), ASTIN Bulletin, 36(2), 521-
542.
Prohl C, Schmidt K.D (2005). Multivariate chain-ladder, Dresdner Schriften zur Versicherungs-
mathematik.
Mack T (1993). Distribution-free calculation of the standard error, ASTIN Bulletin, 23, No.2.
Mack T (1999). The standard error of chain-ladder reserve estimates: recursive calculation and
inclusion of a tail factor, ASTIN Bulletin, 29, No.2, 361-366.
Merz M, Wüthrich M (2008). Prediction error of the multivariate chain ladder reserving method,
North American Actuarial Journal, 12, No.2, 175-197.
Zhang Y (2010). A general multivariate chain-ladder model.Insurance: Mathematics and Eco-
nomics, 46, pp. 588-599.
Zhang Y (2010). Prediction error of the general multivariate chain ladder model.
MultiChainLadder 57

See Also
See also MackChainLadder, MunichChainLadder, triangles, MultiChainLadder, summary,MultiChainLadder-method
and plot,MultiChainLadder,missing-method.

Examples
# This shows that the MCL model using "OLS" is equivalent to
# the MackChainLadder when applied to one triangle

data(GenIns)
(U1 <- MackChainLadder(GenIns, est.sigma = "Mack"))
(U2 <- MultiChainLadder(list(GenIns), fit.method = "OLS"))

# show plots
parold <- par(mfrow = c(2, 2))
plot(U2, which.plot = 1:4)
plot(U2, which.plot = 5)
par(parold)

# For mse.method = "Independence", the model is equivalent

# to that in Buchwalder et al. (2006)

(B1 <- MultiChainLadder(list(GenIns), fit.method = "OLS",

mse.method = "Independence"))

# use the unbiased residual covariance estimator

# in Merz and Wuthrich (2008)
(W1 <- MultiChainLadder2(liab, mse.method = "Independence",
control = systemfit::systemfit.control(methodResidCov = "Theil")))

## Not run:
# use the iterative residual covariance estimator
for (i in 1:5){
W2 <- MultiChainLadder2(liab, mse.method = "Independence",
control = systemfit::systemfit.control(
methodResidCov = "Theil", maxiter = i))
print(format(summary(W2)@report.summary[[3]][15, 4:5],
digits = 6, big.mark = ","))
}

# The following fits an MCL model with intercepts for years 1:7
# and separate chain-ladder models for the rest periods
f1 <- MultiChainLadder2(auto, type = "MCL+int")

# compare with the model without intercepts through residual plots

f0 <- MultiChainLadder2(auto, type = "MCL")

parold <- par(mfrow = c(2, 3), mar = c(3, 3, 2, 1))

mt <- list(c("Personal Paid", "Personal Incured", "Commercial Paid"))
plot(f0, which.plot = 3, main = mt)
plot(f1, which.plot = 3, main = mt)
58 MultiChainLadder-class

par(parold)

## summary statistics
summary(f1, portfolio = "1+3")@report.summary[[4]]

# model for joint development of paid and incurred triangles

da <- auto[1:2]
# MCL with diagonal development
M0 <- MultiChainLadder(da)
# non-diagonal development matrix with no intercepts
M1 <- MultiChainLadder2(da, type = "GMCL-int")
# Munich chain-ladder
M2 <- MunichChainLadder(da[[1]], da[[2]])
# compile results and compare projected paid to incurred ratios
r1 <- lapply(list(M0, M1), function(x){
ult <- summary(x)@Ultimate
ult[, 1] / ult[, 2]
})
names(r1) <- c("MCL", "GMCL")
r2 <- summary(M2)[[1]][, 6]
r2 <- c(r2, summary(M2)[[2]][2, 3])
print(do.call(cbind, c(r1, list(MuCl = r2))) * 100, digits = 4)

## End(Not run)

# To reproduce results in Zhang (2010) and see more examples, use:

## Not run:
demo(MultiChainLadder)

## End(Not run)

MultiChainLadder-class
Class "MultiChainLadder" of Multivariate Chain-Ladder Results

Description
This class includes the first and second moment estimation result using the multivariate reserving
methods in chain-ladder. Several primitive methods and statistical methods are also created to
facilitate further analysis.

Objects from the Class

Objects can be created by calls of the form new("MultiChainLadder",...), or they could also be
a result of calls from MultiChainLadder or JoinFitMse.
MultiChainLadder-class 59

Slots
model: Object of class "character". Either "MCL" or "GMCL".
Triangles: Object of class "triangles". Input triangles.
models: Object of class "list". Fitted regression models using systemfit.
coefficients: Object of class "list". Estimated regression coefficients.
coefCov: Object of class "list". Estimated variance-covariance matrix of coefficients.
residCov: Object of class "list". Estimated residual covariance matrix.
fit.method: Object of class "character". Could be values of "SUR" or "OLS".
delta: Object of class "numeric". Parameter for weights.
int: Object of class "NullNum". Indicator of which periods have intercepts.
mse.ay: Object of class "matrix". Conditional mse for each accident year.
mse.ay.est: Object of class "matrix". Conditional estimation mse for each accident year.
mse.ay.proc: Object of class "matrix". Conditional process mse for each accident year.
mse.total: Object of class "matrix". Conditional mse for aggregated accident years.
mse.total.est: Object of class "matrix". Conditional estimation mse for aggregated accident
years.
mse.total.proc: Object of class "matrix". Conditional process mse for aggregated accident
years.
FullTriangles: Object of class "triangles". Completed triangles.
restrict.regMat: Object of class "NullList"

Extends
Class "MultiChainLadderFit", directly. Class "MultiChainLadderMse", directly.

Methods
$ signature(x = "MultiChainLadder"): Method for primitive function "$". It extracts a slot of
x with a specified slot name, just as in list.
[[ signature(x = "MultiChainLadder",i = "numeric",j = "missing"): Method for primitive
function "[[". It extracts the i-th slot of a "MultiChainLadder" object, just as in list. i could
be a vector.
[[ signature(x = "MultiChainLadder",i = "character",j = "missing"): Method for primi-
tive function "[[". It extracts the slots of a "MultiChainLadder" object with names in i, just
as in list. i could be a vector.
coef signature(object = "MultiChainLadder"): Method for function coef, to extract the esti-
mated development matrix. The output is a list.
fitted signature(object = "MultiChainLadder"): Method for function fitted, to calculate the
fitted values in the original triangles. Note that the return value is a list of fitted valued based
δ/2
on the original scale, not the model scale which is first divided by Yi,k .
names signature(x = "MultiChainLadder"): Method for function names, which returns the slot
names of a "MultiChainLadder" object.
60 MultiChainLadder-class

plot signature(x = "MultiChainLadder",y = "missing"): See plot,MultiChainLadder,missing-method.

residCov signature(object = "MultiChainLadder"): S4 generic function and method to ex-
tract residual covariance from a "MultiChainLadder" object.
residCor signature(object = "MultiChainLadder"): S4 generic function and method to ex-
tract residual correlation from a "MultiChainLadder" object.
residuals signature(object = "MultiChainLadder"): Method for function residuals, to ex-
tract residuals from a system of regression equations. These residuals are based on model
scale, and will not be equivalent to those on the original scale if δ is not set to be 0. One
should use rstandard instead, which is independent of the scale.
resid signature(object = "MultiChainLadder"): Same as residuals.
rstandard signature(model = "MultiChainLadder"): S4 generic function and method to ex-
tract standardized residuals from a "MultiChainLadder" object.
show signature(object = "MultiChainLadder"): Method for show.
summary signature(object = "MultiChainLadder"): See summary,MultiChainLadder-method.
vcov signature(object = "MultiChainLadder"): Method for function vcov, to extract the variance-
covariance matrix of a "MultiChainLadder" object. Note that the result is a list of Bcov, that
is the variance-covariance matrix of the vectorized B.

Author(s)

Wayne Zhang <[email protected]>

See Also

Objects from the Class

"MultiChainLadderFit" is a virtual Class: No objects may be created from it. For "MCLFit" and
"GMCLFit", objects can be created by calls of the form new("MCLFit",...) and new("GMCLFit",...)
respectively.

Slots
Triangles: Object of class "triangles"
models: Object of class "list"
B: Object of class "list"
Bcov: Object of class "list"
ecov: Object of class "list"
fit.method: Object of class "character"
delta: Object of class "numeric"
int: Object of class "NullNum"
restrict.regMat: Object of class "NullList"

Extends
"MCLFit" and "GMCLFit" extends class "MultiChainLadderFit", directly.

Methods
No methods defined with class "MultiChainLadderFit" in the signature.
For "MCLFit", the following methods are defined:
Mse signature(ModelFit = "MCLFit",FullTriangles = "triangles"): Calculate Mse estima-
tions.
predict signature(object = "MCLFit"): Predict ultimate losses and complete the triangles.
The output is an object of class "triangles".
For "GMCLFit", the following methods are defined:
62 MultiChainLadderMse-class

Mse signature(ModelFit = "GMCLFit",FullTriangles = "triangles"): Calculate Mse esti-

mations.
predict signature(object = "GMCLFit"): Predict ultimate losses and complete the triangles.
The output is an object of class "triangles".

Author(s)
Wayne Zhang <[email protected]>

Objects from the Class

Objects can be created by calls of the form new("MultiChainLadderMse",...), or as a result of a
call to Mse.

Slots
mse.ay: Object of class "matrix"
mse.ay.est: Object of class "matrix"
mse.ay.proc: Object of class "matrix"
mse.total: Object of class "matrix"
mse.total.est: Object of class "matrix"
mse.total.proc: Object of class "matrix"
FullTriangles: Object of class "triangles"

Methods
No methods defined with class "MultiChainLadderMse" in the signature.

Author(s)
Wayne Zhang <[email protected]>
MultiChainLadderSummary-class 63

See Also
See Also MultiChainLadder and Mse.

Examples
showClass("MultiChainLadderMse")

MultiChainLadderSummary-class
Class "MultiChainLadderSummary"

Description
This class stores the summary statistics from a "MultiChainLadder" object. These summary statis-
tics include both model summary and report summary.

Objects from the Class

Objects can be created by calls of the form new("MultiChainLadderSummary",...), or a call
from summary.

Slots
Triangles: Object of class "triangles"
FullTriangles: Object of class "triangles"
S.E.Full: Object of class "list"
S.E.Est.Full: Object of class "list"
S.E.Proc.Full: Object of class "list"
Ultimate: Object of class "matrix"
IBNR: Object of class "matrix"
S.E.Ult: Object of class "matrix"
S.E.Est.Ult: Object of class "matrix"
S.E.Proc.Ult: Object of class "matrix"
report.summary: Object of class "list"
coefficients: Object of class "list"
coefCov: Object of class "list"
residCov: Object of class "list"
rstandard: Object of class "matrix"
fitted.values: Object of class "matrix"
residCor: Object of class "matrix"
model.summary: Object of class "matrix"
portfolio: Object of class "NullChar"
64 MunichChainLadder

Methods

$ signature(x = "MultiChainLadderSummary"): Method for primitive function "$". It extracts

a slot of x with a specified slot name, just as in list.
[[ signature(x = "MultiChainLadderSummary",i = "numeric",j = "missing"): Method for prim-
itive function "[[". It extracts the i-th slot of a "MultiChainLadder" object, just as in list. i
could be a vetor.
[[ signature(x = "MultiChainLadderSummary",i = "character",j = "missing"): Method for
primitive function "[[". It extracts the slots of a "MultiChainLadder" object with names in
i, just as in list. i could be a vetor.
names signature(x = "MultiChainLadderSummary"): Method for function names, which re-
turns the slot names of a "MultiChainLadder" object.
show signature(object = "MultiChainLadderSummary"): Method for show.

Author(s)

Wayne Zhang <[email protected]>

See Also

MunichChainLadder Munich-chain-ladder Model

Description

The Munich-chain-ladder model forecasts ultimate claims based on a cumulative paid and incurred
claims triangle. The model assumes that the Mack-chain-ladder model is applicable to the paid and
incurred claims triangle, see MackChainLadder.

Usage

MunichChainLadder(Paid, Incurred,
est.sigmaP = "log-linear", est.sigmaI = "log-linear",
tailP=FALSE, tailI=FALSE)
MunichChainLadder 65

Arguments
Paid cumulative paid claims triangle. Assume columns are the development period,
use transpose otherwise. A (mxn)-matrix Pik which is filled for k ≤ n + 1 −
i; i = 1, . . . , m; m ≥ n
Incurred cumulative incurred claims triangle. Assume columns are the development pe-
riod, use transpose otherwise. A (mxn)-matrix Iik which is filled for k ≤
n + 1 − i; i = 1, . . . , m, m ≥ n
est.sigmaP defines how sigman−1 for the Paid triangle is estimated, see est.sigma in
MackChainLadder for more details, as est.sigmaP gets passed on to MackChainLadder
est.sigmaI defines how sigman−1 for the Incurred triangle is estimated, see est.sigma in
MackChainLadder for more details, as est.sigmaI is passed on to MackChainLadder
tailP defines how the tail of the Paid triangle is estimated and is passed on to MackChainLadder,
see tail just there.
tailI defines how the tail of the Incurred triangle is estimated and is passed on to
MackChainLadder, see tail just there.

Value
MunichChainLadder returns a list with the following elements

call matched call

Paid input paid triangle
Incurred input incurred triangle
MCLPaid Munich-chain-ladder forecasted full triangle on paid data
MCLIncurred Munich-chain-ladder forecasted full triangle on incurred data
MackPaid Mack-chain-ladder output of the paid triangle
MackIncurred Mack-chain-ladder output of the incurred triangle
PaidResiduals paid residuals
IncurredResiduals
incurred residuals
QResiduals paid/incurred residuals
QinverseResiduals
incurred/paid residuals
lambdaP dependency coefficient between paid chain-ladder age-to-age factors and in-
curred/paid age-to-age factors
lambdaI dependency coefficient between incurred chain-ladder ratios and paid/incurred
ratios
qinverse.f chain-ladder-link age-to-age factors of the incurred/paid triangle
rhoP.sigma estimated conditional deviation around the paid/incurred age-to-age factors
q.f chain-ladder age-to-age factors of the paid/incurred triangle
rhoI.sigma estimated conditional deviation around the incurred/paid age-to-age factors
66 MunichChainLadder

Author(s)
Markus Gesmann <[email protected]>

References
Gerhard Quarg and Thomas Mack. Munich Chain Ladder. Blatter DGVFM 26, Munich, 2004.

See Also
See also summary.MunichChainLadder, plot.MunichChainLadder , MackChainLadder

Examples

MCLpaid
MCLincurred
op <- par(mfrow=c(1,2))
plot(MCLpaid)
plot(MCLincurred)
par(op)

# Following the example in Quarg's (2004) paper:

MCL <- MunichChainLadder(MCLpaid, MCLincurred, est.sigmaP=0.1, est.sigmaI=0.1)
MCL
plot(MCL)
# You can access the standard chain-ladder (Mack) output via
MCL$MackPaid
MCL$MackIncurred

# Input triangles section 3.3.1

MCL$Paid
MCL$Incurred
# Parameters from section 3.3.2
# Standard chain-ladder age-to-age factors
MCL$MackPaid$f
MCL$MackIncurred$f
MCL$MackPaid$sigma
MCL$MackIncurred$sigma
# Check Mack's assumptions graphically
plot(MCL$MackPaid)
plot(MCL$MackIncurred)

MCL$q.f
MCL$rhoP.sigma
MCL$rhoI.sigma

MCL$PaidResiduals
MCL$IncurredResiduals

MCL$QinverseResiduals
MCL$QResiduals
MW2008 67

MCL$lambdaP
MCL$lambdaI
# Section 3.3.3 Results
MCL$MCLPaid
MCL$MCLIncurred

MW2008 Run-off claims triangle

Description
Cumulative claims development triangle

Format
A matrix with 9 accident years and 9 development years.

Source
Modelling the claims development result for solvency purposes. Michael Merz, Mario V. Wüthrich.
Casualty Actuarial Society E-Forum, Fall 2008.

Examples
MW2008
plot(MW2008, lattice=TRUE)

MW2014 Run-off claims triangle

Description
Cumulative claims development triangle

Format
A matrix with 17 accident years and 17 development years.

Source
Claims Run-Off Uncertainty: The Full Picture. Michael Merz, Mario V. Wüthrich. Swiss Finance
Institute Research Paper No. 14-69. https://www.ssrn.com/abstract=2524352. 2014

Examples
MW2014
plot(MW2014, lattice=TRUE)
68 PaidIncurredChain

NullNum-class Class "NullNum", "NullChar" and "NullList"

Description
Virtual class for c("null","numeric"), c("null","character" and c("null","list"

Objects from the Class

A virtual Class: No objects may be created from it.

Methods
No methods defined with class "NullNum" in the signature.

PaidIncurredChain PaidIncurredChain

Description
The Paid-incurred Chain model (Merz, Wuthrich (2010)) combines claims payments and incurred
losses information to get a unified ultimate loss prediction.

Usage
PaidIncurredChain(triangleP, triangleI)

Arguments
triangleP Cumulative claims payments triangle
triangleI Incurred losses triangle.

Details
The method uses some basic properties of multivariate Gaussian distributions to obtain a mathe-
matically rigorous and consistent model for the combination of the two information channels.
We assume as usual that I=J. The model assumptions for the Log-Normal PIC Model are the fol-
lowing:
• Conditionally, given Θ = (Φ0 , ..., ΦI , Ψ0 , ..., ΨI−1 , σ0 , ..., σI−1 , τ0 , ..., τI−1 ) we have
– the random vector (ξ0,0 , ..., ξI,I , ζ0,0 , ..., ζI,I−1 ) has multivariate Gaussian distribution
with uncorrelated components given by

ξi,j ∼ N (Φj , σj2 ),

ζk,l ∼ N (Ψl , τl2 );

PaidIncurredChain 69

– cumulative payments are given by the recursion

Pi,j = Pi,j−1 exp(ξi,j ),
with initial value Pi,0 = exp(ξi,0 );
– incurred losses Ii,j are given by the backwards recursion
Ii,j−1 = Ii,j exp(−ζi,j−1 ),
with initial value Ii,I = Pi,I .
• The components of Θ are independent and σj , τj > 0 for all j.
Parameters Θ in the model are in general not known and need to be estimated from observations.
They are estimated in a Bayesian framework. In the Bayesian PIC model they assume that the
previous assumptions hold true with deterministic σ0 , ..., σJ and τ0 , ..., τJ−1 and
Φm ∼ N (φm , s2m ),
Ψn ∼ N (ψn , t2n ).
This is not a full Bayesian approach but has the advantage to give analytical expressions for the
posterior distributions and the prediction uncertainty.

Value
The function returns:
• Ult.Loss.Origin Ultimate losses for different origin years.
• Ult.Loss Total ultimate loss.
• Res.Origin Claims reserves for different origin years.
• Res.Tot Total reserve.
• s.e. Square root of mean square error of prediction for the total ultimate loss.

Note
The model is implemented in the special case of non-informative priors.

Author(s)
Fabio Concina, <[email protected]>

References
Merz, M., Wuthrich, M. (2010). Paid-incurred chain claims reserving method. Insurance: Mathe-
matics and Economics, 46(3), 568-579.

See Also
MackChainLadder,MunichChainLadder

Examples
PaidIncurredChain(USAApaid, USAAincurred)
70 plot-MultiChainLadder

plot-MultiChainLadder Methods for Function plot

Description
Methods for function plot to produce different diagonostic plots for an object of class "MultiChain-
Ladder".

Usage

## S4 method for signature 'MultiChainLadder,missing'

plot(x, y, which.plot=1:4,
which.triangle=NULL,
main=NULL,
portfolio=NULL,
lowess=TRUE,
legend.cex=0.75,...)

Arguments
x An object of class "MultiChainLadder".
y "missing"
which.plot This specifies which type of plot is desired. Its range is 1:5, but defaults to 1:4.
"1" is the barplot of observed losses and predicted IBNR stacked and MSE pre-
dictions as error bars; "2" is a trajectory plot of the development pattern; "3"
is the residual plot of standardized residuals against the fitted values; "4" is the
Normal-QQ plot of the standardized residuals. "5" is the "xyplot" of develop-
ment with confidence intervals for each accident year. Note that "3" and "4" are
not available for portfolio.
which.triangle This specifies which triangles are to be plotted. Default value is NULL, where
all triangles plus the portfolio result will be plotted.
main It should be a list of titles for each plot. If not supplied, use default titles.
portfolio It specifies which triangles are to be summed as the portfolio, to be passed on to
summary.
lowess Logical. If TRUE, smoothing lines will be added on residual plots.
legend.cex plotting parameter to be passes on to cex in legend if which.plot=1.
... optional graphical arguments.

See Also
See also MultiChainLadder
plot.BootChainLadder 71

Examples

## Not run:
data(liab)
fit.liab <- MultiChainLadder(liab)

# generate diagonostic plots

par(mfcol=(c(3,2)))
plot(fit.liab,which.plot=1:2)

par(mfrow=(c(2,2)))
plot(fit.liab,which.plot=3:4)

plot(fit.liab,which.triangle=1,which.plot=5)
graphics.off()

## End(Not run)

plot.BootChainLadder Plot method for a BootChainLadder object

Description

plot.BootChainLadder, a method to plot the output of BootChainLadder. It is designed to give a

quick overview of a BootChainLadder object and to check the model assumptions.

Usage

## S3 method for class 'BootChainLadder'

plot(x, mfrow=NULL, title=NULL, log=FALSE,
which=1:4, ...)

Arguments

x output from BootChainLadder

mfrow see par
title see title
log logical. If TRUE the y-axes of the ’latest incremental actual vs. simulated’ plot
will be on a log-scale
which if a subset of the plots is required, specify a subset of the numbers 1:4.
... optional arguments. See plot.default for more details.
72 plot.checkTriangleInflation

Details

plot.BootChainLadder shows four graphs, starting with a histogram of the total simulated IBNRs
over all origin periods, including a rug plot; a plot of the empirical cumulative distribution of the
total IBNRs over all origin periods; a box-whisker plot of simulated ultimate claims costs against
origin periods; and a box-whisker plot of simulated incremental claims cost for the latest available
calendar period against actual incremental claims of the same period. In the last plot the simulated
data should follow the same trend as the actual data, otherwise the original data might have some
intrinsic trends which are not reflected in the model.

Note

The box-whisker plot of latest actual incremental claims against simulated claims follows is based
on ideas from Barnett and Zehnwirth in: Barnett and Zehnwirth. The need for diagnostic assessment
of bootstrap predictive models, Insureware technical report. 2007

Author(s)

Markus Gesmann

See Also

plot.checkTriangleInflation, a method to plot the output of checkTriangleInflation. It is

designed to give a quick overview of a checkTriangleInflation object and to check the inflation
regression curves.

Usage

## S3 method for class 'checkTriangleInflation'

plot(x, col.line = "black", type = "b", xlab = "dev. period", ylab = NULL, ...)
plot.clark 73

Arguments
x output from checkTriangleInflation
col.line Default: "black". Line color
type Default: "b". What type of plot should be drawn
xlab Default: "dev. period". X axis label
ylab Default: NULL. Y axis label
... optional arguments. See plot.default for more details.

Details
plot.cyeff.test plots all the columns of the triangle (Development Periods) against the regres-
sion curves.

Author(s)
Marco De Virgilis <[email protected]>

See Also
See Also checkTriangleInflation, summary.checkTriangleInflation

Examples
test <- checkTriangleInflation(MedMal$MedMalOutstanding / MedMal$MedMalOpen)
plot(test)

plot.clark Plot Clark method residuals

Description
Function to plot the residuals of the Clark LDF and Cape Cod methods.

Usage
## S3 method for class 'clark'
plot(x, ...)

Arguments
x object resulting from a run of the ClarkLDF or ClarkCapeCod functions.
... not used.
74 plot.cyEffTest

Details
If Clark’s model is appropriate for the actual data, then the standardized residuals should appear
as independent standard normal random variables. This function creates four plots of standardized
residuals on a single page:

1. By origin
2. By age
3. By fitted value
4. Normal Q-Q plot with results of Shapiro-Wilk test

If the model is appropriate then there should not appear to be any trend in the standardized residuals
or any systematic differences in the spread about the line y = 0. The Shapiro-Wilk p-value shown
in the fourth plot gives an indication of how closely the standardized residuals can be considered
"draws" from a standard normal random variable.

Author(s)
Daniel Murphy

References
Clark, David R., "LDF Curve-Fitting and Stochastic Reserving: A Maximum Likelihood Ap-
proach", Casualty Actuarial Society Forum, Fall, 2003

plot.cyEffTest Plot method for a cyEffTest object

Description
plot.cyEffTest, a method to plot the output of cyEffTest. It is designed to give a quick overview
of a cyEffTest object and to check the assumption of independece between calendar years.
plot.dfCorTest 75

Usage
## S3 method for class 'cyEffTest'
plot(x, type = "l", xlab = "Z", ylab = "Density",
main = "Calendar Year Effect", col.area = "gray",
border = NA, ...)

Arguments
x output from cyEffTest
type Default: "l". What type of plot should be drawn
xlab Default: "Z". X axis label
ylab Default: "Density". Y axis label
main Default: "Calendar Year Effect". Plot title
col.area Default: "gray". Color of the shaded area.
border Default: NULL, the color to draw the border. Use border = NA to omit borders.
... optional arguments. See plot.default for more details.

Details
plot.cyEffTest shows the underlying distribution, the test statistic Z and the relative Confidence
Interval. If the test statistic Z is within the highlighted region the hypothesis of dependence between
calendar years could be rejected.

Author(s)
Marco De Virgilis <[email protected]>

See Also
See Also cyEffTest, summary.cyEffTest

Examples
plot(cyEffTest(RAA))

plot.dfCorTest Plot method for a dfCorTest object

Description
plot.dfCorTest, a method to plot the output of dfCorTest. It is designed to give a quick overview
of a dfCorTest object and to check the assumption of independece between development factors.
76 plot.MackChainLadder

Usage
## S3 method for class 'dfCorTest'
plot(x, type = "l", xlab = "T", ylab = "Density",
main = "Development Factor Correlation", col.area = "gray",
border = NA, ...)

Arguments
x output from dfCorTest
type Default: "l". What type of plot should be drawn
xlab Default: "Z". X axis label
ylab Default: "Density". Y axis label
main Default: "Development Factor Correlation". Plot title
col.area Default: "gray". Color of the shaded area.
border Default: NULL, the color to draw the border. Use border = NA to omit borders.
... optional arguments. See plot.default for more details.

Details
plot.dfCorTest shows the underlying distribution, the test statistic Z and the relative Confidence
Interval. If the test statistic Z is within the highlighted region the hypothesis of correlation between
development factors could be rejected.

Author(s)
Marco De Virgilis <[email protected]>

See Also
See Also dfCorTest, summary.dfCorTest

Examples
plot(dfCorTest(RAA))

plot.MackChainLadder Plot method for a MackChainLadder object

Description
plot.MackChainLadder, a method to plot the output of MackChainLadder. It is designed to give a
quick overview of a MackChainLadder object and to check Mack’s model assumptions.
plot.MackChainLadder 77

Usage

## S3 method for class 'MackChainLadder'

plot(x, mfrow=NULL, title=NULL,
lattice=FALSE, which=1:6, ...)

Arguments

x output from MackChainLadder

mfrow see par
title see title
lattice logical. Default is set to FALSE and plots as described in the details section are
produced. If lattice=TRUE, the function xyplot of the lattice package is used
to plot developments by origin period in different panels, plus Mack’s S.E.
which if a subset of the plots is required, specify a subset of the numbers 1:6.
... optional arguments. See plot.default for more details.

Details

plot.MackChainLadder shows six graphs, starting from the top left with a stacked bar-chart of the
latest claims position plus IBNR and Mack’s standard error by origin period; next right to it is a
plot of the forecasted development patterns for all origin periods (numbered, starting with 1 for the
oldest origin period), and 4 residual plots. The residual plots show the standardised residuals against
fitted values, origin period, calendar period and development period. All residual plot should show
no patterns or directions for Mack’s method to be applicable. Pattern in any direction can be the
result of trends and should be further investigated, see Barnett and Zehnwirth. Best estimates for
reserves. Proceedings of the CAS, LXXXVI I(167), November 2000. for more details on trends.

Author(s)

Markus Gesmann

See Also

## S3 method for class 'MunichChainLadder'

plot(x, mfrow=c(2,2), title=NULL, ...)

Arguments
x output from MunichChainLadder
mfrow see par
title see title
... optional arguments. See plot.default for more details.

Details
plot.MunichChainLadder shows four plots, starting from the top left with a barchart of forecasted
ultimate claims costs by Munich-chain-ladder (MCL) on paid and incurred data by origin period; the
barchart next to it compares the ratio of forecasted ultimate claims cost on paid and incurred data
based on the Mack-chain-ladder and Munich-chain-ladder methods; the two residual plots at the
bottom show the correlation of (incurred/paid)-chain-ladder factors against the paid-chain-ladder
factors and the correlation of (paid/incurred)-chain-ladder factors against the incurred-chain-ladder
factors.

Note
The design of the plots follows those in Quarg’s (2004) paper: Gerhard Quarg and Thomas Mack.
Munich Chain Ladder. Blatter DGVFM 26, Munich, 2004.

Author(s)
Markus Gesmann

See Also
See also MunichChainLadder
predict.TriangleModel 79

Examples
M <- MunichChainLadder(MCLpaid, MCLincurred)
plot(M)

predict.TriangleModel Prediction of a claims triangle

Description
The function is internally used by MackChainLadder to forecast future claims.

Usage
## S3 method for class 'TriangleModel'
predict(object,...)
## S3 method for class 'ChainLadder'
predict(object,...)

Arguments
object a list with two items: Models, Triangle
Models list of linear models for each development period
Triangle input triangle to forecast
... not in use

Value
FullTriangle forecasted claims triangle

Author(s)
Markus Gesmann

See Also
See also chainladder, MackChainLadder

Examples

RAA

CL <- chainladder(RAA)
CL
predict(CL)
80 print.ata

print.ata Print Age-to-Age factors

Description
Function to print the results of a call to the ata function.

Usage
## S3 method for class 'ata'
print(x, ...)

Arguments
x object resulting from a call to the ata function
... further arguments passed to print

Details
print.ata simply prints summary.ata.

Value
A summary.ata matrix, invisibly.

Author(s)
Daniel Murphy

## Print ata factors rounded to 3 decimal places, the summary.ata default

print(x)

## Round to 4 decimal places and print cells corresponding

## to future observations as blanks.
print(summary(x, digits=4), na.print="")
print.checkTriangleInflation 81

print.checkTriangleInflation
Print function for a checkTriangleInflation object

Description

print method for a checkTriangleInflation object

Usage

## S3 method for class 'checkTriangleInflation'

print(x, ...)

Arguments

x object of class checkTriangleInflation

... optional arguments for a print method

Details

print.checkTriangleInflation show the print of a checkTriangleInflation object.

Value

print.checkTriangleInflation displays the default information resulting from a call of the

checkTriangleInflation method

Author(s)

Marco De Virgilis <[email protected]>

See Also

print.clark Print results of Clark methods

Description
Functions to print the results of the ClarkLDF and ClarkCapeCod methods.

Usage

## S3 method for class 'ClarkLDF'

print(x, Amountdigits=0, LDFdigits=3, CVdigits=3,
row.names = FALSE, ...)

## S3 method for class 'ClarkCapeCod'

print(x, Amountdigits=0, ELRdigits=3, Gdigits=4, CVdigits=3,
row.names = FALSE, ...)

Arguments
x object resulting from a run of the ClarkLDF or ClarkCapeCod function.
Amountdigits number of digits to display to the right of the decimal point for "amount" columns
LDFdigits number of digits to display to the right of the decimal point for the loss devel-
opment factor (LDF) column
CVdigits number of digits to display to the right of the decimal point for the coefficient of
variation (CV) column
ELRdigits number of digits to display to the right of the decimal point for the expected loss
ratio (ELR) column
Gdigits number of digits to display to the right of the decimal point for the "growth
function factor" column; default of 4 conforms with the table on pp. 67, 68 of
Clark’s paper
row.names logical (or character vector), indicating whether (or what) row names should be
printed (same as for print.data.frame)
... further arguments passed to print

Details
Display the default information in "pretty format" resulting from a run of the "LDF Method" or
"Cape Cod Method" – a "Development-type" exhibit for Clark’s "LDF Method," a "Bornhuetter-
Ferguson-type" exhibit for Clark’s "Cape Cod Method."
As usual, typing the name of such an object at the console invokes its print method.
print.cyEffTest 83

Value
data.frames whose columns are the character representation of their respective summary.ClarkLDF
or summary.ClarkCapeCod data.frames.

Author(s)
Daniel Murphy

References
Clark, David R., "LDF Curve-Fitting and Stochastic Reserving: A Maximum Likelihood Ap-
proach", Casualty Actuarial Society Forum, Fall, 2003

See Also
summary.ClarkLDF and summary.ClarkCapeCod

Examples
X <- GenIns
colnames(X) <- 12*as.numeric(colnames(X))
y <- ClarkCapeCod(X, Premium=10000000+400000*0:9, maxage=240)
summary(y)
print(y) # (or simply 'y') Same as summary(y) but with "pretty formats"

## Greater growth factors when projecting to infinite maximum age

ClarkCapeCod(X, Premium=10000000+400000*0:9, maxage=Inf)

print.cyEffTest Print function for a cyEffTest object

Description
print method for a cyEffTest object

Usage
## S3 method for class 'cyEffTest'
print(x, ...)

Arguments
x object of class cyEffTest
... optional arguments for a print method

Details
print.cyEffTest show the print of a cyEffTest object.
84 print.dfCorTest

Value
print.cyEffTest displays the default information resulting from a call of the cyEffTest method

Author(s)
Marco De Virgilis <[email protected]>

See Also
See also cyEffTest, plot.cyEffTest, summary.cyEffTest

Examples
test <- cyEffTest(RAA)
print(test)

print.dfCorTest Print function for a dfCorTest object

Description
print method for a dfCorTest object

Usage
## S3 method for class 'dfCorTest'
print(x, ...)

Arguments
x object of class dfCorTest
... optional arguments for a print method

Details
print.dfCorTest show the print of a dfCorTest object.

Value
print.dfCorTest displays the default information resulting from a call of the dfCorTest method

Author(s)
Marco De Virgilis <[email protected]>

See Also
See also dfCorTest, plot.dfCorTest, summary.dfCorTest
qpaid 85

Examples
test <- dfCorTest(RAA)
print(test)

qpaid Quarterly run off triangle of accumulated claims data

Description
Sample data to demonstrate how to work with triangles with a higher development period frequency
than origin period frequency

Usage
data(qpaid); data(qincurred)

Format
A matrix with 12 accident years and 45 development quarters of claims costs.

Source
Made up data for testing purpose

Examples
dim(qpaid)
dim(qincurred)
op=par(mfrow=c(1,2))
ymax <- max(c(qpaid,qincurred),na.rm=TRUE)*1.05
matplot(t(qpaid), type="l", main="Paid development",
xlab="Dev. quarter", ylab="$", ylim=c(0,ymax))
matplot(t(qincurred), type="l", main="Incurred development",
xlab="Dev. quarter", ylab="$", ylim=c(0,ymax))
par(op)
## MackChainLadder expects a quadratic matrix so let's expand
## the triangle to a quarterly origin period.
n <- ncol(qpaid)
Paid <- matrix(NA, n, n)
Paid[seq(1,n,4),] <- qpaid
M <- MackChainLadder(Paid)
plot(M)

# We expand the incurred triangle in the same way

Incurred <- matrix(NA, n, n)
Incurred[seq(1,n,4),] <- qincurred

# With the expanded triangles we can apply MunichChainLadder

MunichChainLadder(Paid, Incurred)
86 quantile.MackChainLadder

# In the same way we can apply BootChainLadder

# We reduce the size of bootstrap replicates R
# from the default of 999 to 99 purely to reduce run time.
BootChainLadder(Paid, R=99)

quantile.MackChainLadder
quantile function for Mack-chain-ladder

Description
quantile methods for a MackChainLadder object

Usage

## S3 method for class 'MackChainLadder'

quantile(x, probs=c(0.75, 0.95), na.rm = FALSE,
names = TRUE, type = 7,...)

Arguments
x object of class "MackChainLadder"
probs numeric vector of probabilities with values in [0,1], see quantile for more help
na.rm not used
names not used
type not used
... not used

Details
Reserves at the desired quantile using the Cornish-Fisher expansion.
The Cornish-Fisher expansion relies on the first three moments of the reserve risk distribution: The
Best estimate resulting from the Chain-Ladder projection, the Mack standard deviation and the
skewness of the distribution (for skewness estimation, see references below).
The quantile estimation requires only that the standard Mack assumptions are met.
For details of the underlying calculations, see references below.

Value
quantile.MackChainLadder gives a list with two elements back:
ByOrigin data frame with skewness and quantile statistics by origin period
Totals data frame with total skewness and quantile statistics across all origin periods
QuantileIFRS17 87

Author(s)

Eric Dal Moro <[email protected]>

References

Eric Dal Moro and Yuriy Krvavych. Probability of sufficiency of Solvency II Reserve risk margins:
Practical approximations. ASTIN Bulletin, 47(3), 737-785
Dal Moro, Eric, A Closed-Form Formula for the Skewness Estimation of Non-Life Reserve Risk
Distribution (September 15, 2013). Available at SSRN: https://ssrn.com/abstract=2344297 or https://dx.doi.org/10.2139/ssrn.

See Also

QuantileIFRS17 Quantile estimation for the IFRS 17 Risk Adjustment

Description

The Quantile IFRS 17 function provides an estimate of the quantile attained on the reserve risk
distribution that corresponds to the booked Risk Adjustment plus the Best Estimate.

Usage

QuantileIFRS17(MCL, Correlation, RiskMargin)

Arguments

MCL a list of MackChainLadder objects

Correlation Correlation matrix depicting the correlations between each triangle imported.
The correlation matrix is of dimension n x n, with n the number of items in
the list of MackChainLadder objects. For correlation estimations between P&C
risks, please refer to the article of Arbenz et al. below.
RiskMargin Input the risk margin as a single number. The risk margin corresponds to the
IFRS 17 risk adjustment. It is estimated outside this function and can come
from e.g. Solvency 2 standard formula. See International Actuarial Association
reference below for details on risk adjustment calculations.
88 QuantileIFRS17

Details
The IFRS 17 quantile is a mandatory disclosure when producing Financial Statements under the
IFRS 17 framework: Such quantile reflects the Probability of Sufficiency of the reserves defined as
Best Estimate plus Risk Adjustment i.e. the probability that the reserves will cover any negative
deviations up to the disclosed quantile.
When a risk measure other than the quantile measure (Value At risk) is used for determining the
Risk Adjustment, the quantile has to be estimated. The purpose of this function is to provide such an
estimation on deriving the first three moments of the reserve risk distribution. These moments are
estimated on the triangles input into the function. These triangles are projected using chain-ladder
methods and the standard Best Estimate, Mack volatility and skewness are estimated. The resulting
moments of the different triangles are then aggregated using Fleishman polynomials.
On using a Cornish-Fisher expansion based on the three aggregated moments, the Probability of
Sufficiency of the reserves including the Risk Adjustment (given as an input to the function) can be
easily derived.

Value
QuantileIFRS17 returns a vector with the following elements
QuantileIFRS_17
Quantile attained on the reserve risk distribution with the booked Risk Adjust-
ment
Skewness Skewness of the overall aggregated risk distribution across all triangles
CoV Coefficient of Variation of the overall aggregated risk distribution across all tri-
angles
Reserve Sum of reserves of the input MackChainLadder objects

Note
The use of Fleishman polynomials and Cornish-Fisher expansion imply that the different risks in-
volved in the triangles inputs should be "close to normality". If the risks involved in the input
triangles are far from normal distributions (e.g. extreme events, nat cats ...), the proposed frame-
work will not apply and the quantile derived from the function will not be relevant.

Author(s)
Eric Dal Moro, Yuriy Krvavych

P. Arbenz, D. Canestraro (2012) Estimating Copulas for Insurance from Scarce Observations, Ex-
pert Opinion and Prior Information: A Bayesian Approach, Astin Bulletin, vol. 42(1), pages 271-
290.
International Actuarial Association (2018) Risk Adjustments for Insurance Contracts under IFRS
17

See Also
See also MackChainLadder, quantile.MackChainLadder

Examples

QuantileIFRS17(MCL=list(M1=MackChainLadder(RAA, est.sigma = "Mack"),

M2=MackChainLadder(GenIns/1000, est.sigma = "Mack")),
Correlation=matrix(c(1,0.3, 0.3, 1), ncol=2),
RiskMargin = 20000)

RAA Run off triangle of accumulated claims data

Description
Run-off triangle of Automatic Factultative business in General Liability

Usage
data(RAA)

Format
A matrix with 10 accident years and 10 development years.

Source
Historical Loss Development, Reinsurance Association of Ammerica (RAA), 1991, p.96

References
See Also: Which Stochastic Model is Underlying the Chain Ladder Method?, Thomas Mack, In-
surance Mathematics and Economics, 15, 2/3, pp133-138, 1994
P.D.England and R.J.Verrall, Stochastic Claims Reserving in General Insurance, British Actuarial
Journal, Vol. 8, pp443-544, 2002

Examples
RAA
plot(RAA)
plot(RAA, lattice=TRUE)
90 residuals.MackChainLadder

residCov Generic function for residCov and residCor

Description
residCov and residCov are a generic functions to extract residual covariance and residual correla-
tion from a system of fitted regressions respectively.

Usage
residCov(object,...)
residCor(object,...)

## S4 method for signature 'MultiChainLadder'

residCov(object,...)
## S4 method for signature 'MultiChainLadder'
residCor(object,...)

Arguments
object An object of class "MultiChainLadder".
... Currently not used.

Author(s)
Wayne Zhang <[email protected]>

summary-methods Methods for Function summary

Description
Methods for function summary to calculate summary statistics from a "MultiChainLadder" object.

Usage

## S4 method for signature 'MultiChainLadder'

summary(object, portfolio=NULL,...)

Arguments
object object of class "MultiChainLadder"
portfolio character strings specifying which triangles to be summed up as portfolio.
... optional arguments to summary methods
92 summary-methods

Details
summary calculations the summary statistics for each triangle and the whole portfolio from portfolio.
portfolio defaults to the sum of all input triangles. It can also be specified as "i+j" format, which
means the sum of the i-th and j-th triangle as portfolio. For example, "1+3" means the sum of the
first and third triangle as portfolio.

Value
The summary function returns an object of class "MultiChainLadderSummary" that has the follow-
ing slots:

Triangles input triangles

FullTriangles predicted triangles
S.E.Full a list of prediction errors for each cell
S.E.Est.Full a list of estimation errors for each cell
S.E.Proc.Full a list of process errors for each cell
Ultimate predicted ultimate losses for each triangle and portfolio
Latest latest observed losses for each triangle and portfolio
IBNR predicted IBNR for each triangle and portfolio
S.E.Ult a matrix of prediction errors of ultimate losses for each triangle and portfolio
S.E.Est.Ult a matrix of estimation errors of ultimate losses for each triangle and portfolio
S.E.Proc.Ult a matrix of process errors of ultimate losses for each triangle and portfolio
report.summary summary statistics for each triangle and portfolio
coefficients estimated coefficients from systemfit. They are put into the matrix format for
GMCL
coefCov estimated variance-covariance matrix returned by systemfit
residCov estimated residual covariance matrix returned by systemfit
rstandard standardized residuals
fitted.values fitted.values
residCor residual correlation
model.summary summary statistics for the cofficients including p-values
portfolio how portfolio is calculated

Author(s)
Wayne Zhang <[email protected]>

See Also
See Also MultiChainLadder
summary.ata 93

Examples
data(GenIns)
fit.bbmw=MultiChainLadder(list(GenIns),fit.method="OLS", mse.method="Independence")
summary(fit.bbmw)

summary.ata Summary method for object of class ’ata’

Description
Summarize the age-to-age factors resulting from a call to the ata function.

Usage
## S3 method for class 'ata'
summary(object, digits=3, ...)

Arguments
object object resulting from a call to ata
digits integer indicating the number of decimal places for rounding the factors. The
default is 3. NULL indicates that rounding should take place.
... not used

Details
A call to ata produces a matrix of age-to-age factors with two attributes – the simple and volume
weighted averages. summary.ata creates a new matrix with the averages appended as rows at the
bottom.

Value
A matrix.

Author(s)
Dan Murphy

## S3 method for class 'BootChainLadder'

print(x, probs=c(0.75,0.95), ...)

## S3 method for class 'BootChainLadder'

quantile(x, probs=c(0.75, 0.95), na.rm = FALSE,
names = TRUE, type = 7,...)

## S3 method for class 'BootChainLadder'

mean(x, ...)

## S3 method for class 'BootChainLadder'

residuals(object, ...)

Arguments
x, object output from BootChainLadder
probs numeric vector of probabilities with values in [0,1], see quantile for more help
na.rm logical; if true, any NA and NaN’s are removed from ’x’ before the quantiles are
computed, see quantile for more help
names logical; if true, the result has a names attribute. Set to FALSE for speedup with
many ’probs’, see quantile for more help
type an integer between 1 and 9 selecting one of the nine quantile algorithms detailed
below to be used, see quantile
... further arguments passed to or from other methods

Details
print.BootChainLadder calls summary.BootChainLadder and prints a formatted version of the
summary. residuals.BootChainLadder gives the residual triangle of the expected chain-ladder
minus the actual triangle back.
summary.checkTriangleInflation 95

Value
summary.BootChainLadder, mean.BootChainLadder, and quantile.BootChainLadder, give a
list with two elements back:

ByOrigin data frame with summary/mean/quantile statistics by origin period

Totals data frame with total summary/mean/quantile statistics for all origin period

Author(s)
Markus Gesmann

summary.clark Summary methods for Clark objects

Description
summary methods for ClarkLDF and ClarkCapeCod objects

Usage
## S3 method for class 'ClarkLDF'
summary(object, ...)

## S3 method for class 'ClarkCapeCod'

summary(object, ...)

Arguments
object object resulting from a run of the ClarkLDF or ClarkCapeCod functions.
... not currently used

Details
summary.ClarkLDF returns a data.frame that holds the columns of a typical "Development-type"
exhibit.
summary.ClarkCapeCod returns a data.frame that holds the columns of a typical "Bornhuetter-
Ferguson-type" exhibit.
summary.cyEffTest 97

Value
summary.ClarkLDF and summary.ClarkCapeCod return data.frames whose columns are objects
of the appropriate mode (i.e., character for "Origin", otherwise numeric)

Author(s)
Dan Murphy

summary.cyEffTest Summary function for a cyEffTest object

Description
summary method for a cyEffTest object

Usage
## S3 method for class 'cyEffTest'
summary(object, ...)

Arguments
object object of class cyEffTest
... optional arguments for a summary method

Details
summary.cyEffTest shows the summary of a cyEffTest object.

Value
summary.cyEffTest gives a list of three elements back

Table data frame containing the statistics for each calendar year
Totals data frame of totals of the main statistics from the dataframe Table
Range data frame containing the upper and lower limits of the confidence interval range
98 summary.dfCorTest

Author(s)
Marco De Virgilis <[email protected]>

See Also
See also cyEffTest, plot.cyEffTest

Examples
test <- cyEffTest(RAA)
summary(test)

summary.dfCorTest Summary function for a dfCorTest object

Description
summary method for a dfCorTest object

Usage
## S3 method for class 'dfCorTest'
summary(object, ...)

Arguments
object object of class dfCorTest
... optional arguments for a summary method

Details
summary.dfCorTest shows the summary of a dfCorTest object.

Value
summary.dfCorTest gives a list of two elements back

Results data frame containing the summary statistics

Range data frame containing the upper and lower limits of the confidence interval range

Author(s)
Marco De Virgilis <[email protected]>

See Also
See also dfCorTest, plot.dfCorTest
summary.MackChainLadder 99

Examples
test <- dfCorTest(RAA)
summary(test)

summary.MackChainLadder
Summary and print function for Mack-chain-ladder

Description
summary and print methods for a MackChainLadder object

Usage

## S3 method for class 'MackChainLadder'

summary(object, ...)

## S3 method for class 'MackChainLadder'

print(x, ...)

Arguments
x, object object of class "MackChainLadder"
... optional arguments to print or summary methods

Details
print.MackChainLadder calls summary.MackChainLadder and prints a formatted version of the
summary.

Value
summary.MackChainLadder gives a list of two elements back

ByOrigin data frame with Latest (latest actual claims costs), Dev.To.Date (chain-ladder
development to date), Ultimate (estimated ultimate claims cost), IBNR (esti-
mated IBNR), Mack.S.E (Mack’s estimation of the standard error of the IBNR),
and CV(IBNR) (Coefficient of Variance=Mack.S.E/IBNR)
Totals data frame of totals over all origin periods. The items follow the same naming
convention as in ByOrigin above

Author(s)
Markus Gesmann
100 summary.MunichChainLadder

See Also
See also MackChainLadder, plot.MackChainLadder

Examples
R <- MackChainLadder(RAA)
R
summary(R)
summary(R)$ByOrigin$Ultimate

summary.MunichChainLadder
Summary and print function for Munich-chain-ladder

Description
summary and print methods for a MunichChainLadder object

Usage
## S3 method for class 'MunichChainLadder'
summary(object, ...)

## S3 method for class 'MunichChainLadder'

print(x, ...)

Arguments
x, object object of class "MunichChainLadder"
... optional arguments to print or summary methods

Details
print.MunichChainLadder calls summary.MunichChainLadder and prints a formatted version of
the summary.

Value
summary.MunichChainLadder gives a list of two elements back
ByOrigin data frame with Latest Paid (latest actual paid claims costs), Latest Incurred (lat-
est actual incurred claims position), Latest P/I Ratio (ratio of latest paid/incurred
claims), Ult. Paid (estimate ultimate claims cost based on the paid triangle), Ult.
Incurred (estimate ultimate claims cost based on the incurred triangle),Ult. P/I
Ratio (ratio of ultimate paid forecast / ultimate incurred forecast)
Totals data frame of totals over all origin periods. The items follow the same naming
convention as in ByOrigin above
Table65 101

Author(s)
Markus Gesmann

See Also
See also MunichChainLadder, plot.MunichChainLadder

Examples
M <- MunichChainLadder(MCLpaid, MCLincurred)
M
summary(M)
summary(M)$ByOrigin

Table65 Functions to Reproduce Clark’s Tables

Description
Print the tables on pages 64, 65, and 68 of Clark’s paper.

Usage
Table64(x)
Table65(x)
Table68(x)

Arguments
x an object resulting from ClarkLDF or ClarkCapeCod

Details
These exhibits give some of the details behind the calculations producing the estimates of future
values (a.k.a. "Reserves" in Clark’s paper). Table65 works for both the "LDF" and the "CapeCod"
methods. Table64 is specific to "LDF", Table68 to "CapeCod".

Value
A data.frame.

Author(s)
Daniel Murphy
102 triangle S3 Methods

References

Clark, David R., "LDF Curve-Fitting and Stochastic Reserving: A Maximum Likelihood Ap-
proach", Casualty Actuarial Society Forum, Fall, 2003 https://www.casact.org/sites/default/
files/database/forum_03fforum_03ff041.pdf

Examples

Table65(ClarkLDF(GenIns, maxage=20))
Table64(ClarkLDF(GenIns, maxage=20))

X <- GenIns
colnames(X) <- 12*as.numeric(colnames(X))
Table65(ClarkCapeCod(X, Premium=10000000+400000*0:9, maxage=Inf))
Table68(ClarkCapeCod(X, Premium=10000000+400000*0:9, maxage=Inf))

triangle S3 Methods Generic functions for triangles

Description

Functions to ease the work with triangle shaped matrix data. A ’triangle’ is a matrix with some
generic functions.
triangle creates a triangle from the given set of vectors of observed data.
as.triangle attempts to turn its argument into a triangle. Triangles are usually stored in a “long”
format in data bases. The function can transform a data.frame into a triangle shape.
as.data.frame turns a triangle into a data frame.

Usage

triangle(..., bycol=FALSE, origin="origin", dev="dev", value="value")

## S3 method for class 'matrix'

as.triangle(Triangle, origin="origin", dev="dev", value="value", ...)
## S3 method for class 'data.frame'
as.triangle(Triangle, origin="origin", dev="dev", value="value", ...)
## S3 method for class 'triangle'
as.data.frame(x, row.names=NULL, optional, lob=NULL, na.rm=FALSE, ...)
as.triangle(Triangle, origin="origin", dev="dev", value="value", ...)
## S3 method for class 'triangle'
plot(x, type = "b", xlab = "dev. period", ylab = NULL, lattice=FALSE, ...)
triangle S3 Methods 103

Arguments
Triangle a triangle
bycol logical. If FALSE (the default) the triangle is filled by rows, otherwise the triangle
is filled by columns.
origin name of the origin period, default is "origin".
dev name of the development period, default is "dev".
value name of the value, default is "value".
row.names default is set to NULL and will merge origin and dev. period to create row names.
lob default is NULL. The idea is to use lob (line of business) as an additional column
to label a triangle in a long format, see the examples for more details.
optional not used
na.rm logical. Remove missing values?
x a matrix of class ’triangle’
xlab a label for the x axis, defaults to ’dev. period’
ylab a label for the y axis, defaults to NULL
lattice logical. If FALSE the function matplot is used to plot the developments of the
triangle in one graph, otherwise the xyplot function of the lattice package is
used, to plot developments of each origin period in a different panel.
type type, see plot.default
... vectors of data in triangle, see details; arguments to be passed to other meth-
ods everywhere else.

Details
Function triangle builds a triangle matrix from the vectors of known data provided in .... Nor-
mally, each of these vectors should be one shorter than the preceeding one. The length of the first
vector dictates the number of development periods or origin periods (respectively when bycol is
FALSE or TRUE). As a special case, the function will build an n × n triangle from a single vector of
n(n + 1)/2 data points.
The names of the arguments in ... for function triangle (when there are more than one) are
retained for row/column names. Similarly, the names of the elements of the first argument are used
as column/row names.

Warning
Please note that for the function as.triangle the origin and dev. period columns have to be of type
numeric or a character which can be converted into numeric.
Also note that when converting from a data.frame to a matrix with as.triangle, multiple records
with the same origin and dev will be aggregated.

Author(s)
Markus Gesmann, Dan Murphy, Vincent Goulet
104 triangles-class

Examples

GenIns
plot(GenIns)
plot(GenIns, lattice=TRUE)

## Convert long format into triangle

## Triangles are usually stored as 'long' tables in data bases
head(GenInsLong)
as.triangle(GenInsLong, origin="accyear", dev="devyear", "incurred claims")

X <- as.data.frame(RAA)
head(X)

Y <- as.data.frame(RAA, lob="General Liability")

head(Y)

## Basic creation of a triangle from loss development data

triangle(c(100, 150, 175, 180, 200),
c(110, 168, 192, 205),
c(115, 169, 202),
c(125, 185),
150)

## Same, with named origin periods

triangle("2012" = c(100, 150, 175, 180, 200),
"2013" = c(110, 168, 192, 205),
"2014" = c(115, 169, 202),
"2015" = c(125, 185),
"2016" = 150)

## Again, with also named development periods

triangle("2012" = c("12 months" = 100,
"24 months" = 150,
"36 months" = 175,
"48 months" = 180,
"60 months" = 200),
"2013" = c(110, 168, 192, 205),
"2014" = c(115, 169, 202),
"2015" = c(125, 185),
"2016" = 150)

## Quick, simplified usage

triangle(c(100, 150, 175, 110, 168, 115))

triangles-class S4 Class "triangles"

triangles-class 105

Description
This is a S4 class that has "list" in the data part. This class is created to facilitate validation and
extraction of data.

Objects from the Class

Objects can be created by calls of the form new("triangles",...), or use as(...,"triangles"),
where ... is a "list".

Slots
.Data: Object of class "list"

Extends
Class "list", from data part. Class "vector", by class "list", distance 2.

Methods
Mse signature(ModelFit = "GMCLFit",FullTriangles = "triangles"): See Mse
Mse signature(ModelFit = "MCLFit",FullTriangles = "triangles"): See Mse
[ signature(x = "triangles",i = "missing",j = "numeric",drop = "logical"): Method for
primitive function "[" to subset certain columns. If drop=TRUE, rows composed of all "NA"s
are removed. Dimensions are not dropped.
[ signature(x = "triangles",i = "missing",j = "numeric",drop = "missing"): Method for
primitive function "[" to subset certain columns, where rows composed of all "NA"s are re-
moved. Dimensions are not dropped.
[ signature(x = "triangles",i = "numeric",j = "missing",drop = "logical"): Method for
primitive function "[" to subset certain rows. If drop=TRUE, columns composed of all "NA"s
are removed. Dimensions are not dropped.
[ signature(x = "triangles",i = "numeric",j = "missing",drop = "missing"): Method for
primitive function "[" to subset certain rows, where columns composed of all "NA"s are re-
moved. Dimensions are not dropped.
[ signature(x = "triangles",i = "numeric",j = "numeric",drop = "missing"): Method for
primitive function "[" to subset certain rows and columns. Dimensions are not dropped.
[<- signature(x = "triangles",i = "numeric",j = "numeric",value = "list"): Method for
primitive function "[<-" to replace one cell in each triangle with values specified in value.
coerce signature(from = "list",to = "triangles"): Method to construct a "triangles" object
from "list".
dim signature(x = "triangles"): Method to get the dimensions. The return value is a vector
of length 3, where the first element is the number of triangles, the sencond is the number of
accident years, and the third is the number of development years.
cbind2 signature(x = "triangles",y="missing"): Method to column bind all triangles using
cbind internally.
rbind2 signature(x = "triangles",y="missing"): Method to row bind all triangles using rbind
internally.
106 tweedieReserve

Author(s)
Wayne Zhang <[email protected]>

# method for "["

auto[,4:6,drop=FALSE] # rows of all NA's not dropped
auto[,4:6] # drop rows of all NA's

auto[8:10, ,drop=FALSE] #columns of all NA's not dropped

auto[8:10, ] #columns of all NA's dropped

auto[1:2,1]

# replacement method
auto[1:2,1] <- list(1,2,3)
auto[1,2]

dim(auto)

cbind2(auto[1:2,1])
rbind2(auto[1:2,1])

tweedieReserve Tweedie Stochastic Reserving Model

Description
This function implements loss reserving models within the generalized linear model framework in
order to generate the full predictive distribution for loss reserves. Besides, it generates also the one
year risk view useful to derive the reserve risk capital in a Solvency II framework. Finally, it allows
the user to validate the model error while changing different model parameters, as the regression
structure and diagnostics on the Tweedie p parameter.

Usage
tweedieReserve(triangle, var.power = 1,
link.power = 0, design.type = c(1, 1, 0),
rereserving = FALSE, cum = TRUE, exposure = FALSE,
bootstrap = 1, boot.adj = 0, nsim = 1000,
tweedieReserve 107

proc.err = TRUE, p.optim = FALSE,

p.check = c(0, seq(1.1, 2.1, by = 0.1), 3),
progressBar = TRUE, ...)

Arguments
triangle An object of class triangle.
var.power The index (p) of the power variance function V (µ) = µp . Default to p = 1,
which is the over-dispersed Poisson model. If NULL, it will be assumed to be in
(1,2) and estimated using the cplm package. See tweedie.
link.power The index of power link function. The default link.power = 0 produces a log
link. See tweedie.
design.type It’s a 3 dimension array that specifies the design matrix underlying the GLM.
The dimensions represent respectively: origin period, development and calen-
dar period. Accepted values are: 0 (not modelled), 1 (modelled as factor) and
2 (modelled as variable). Default to c(1,1,0), which is the common specifi-
cation in actuarial literature (origin and development period as factors, calendar
period not modelled). If a parameter for the calendar period is specified, a linear
regression on the log CY parameter is fitted to estimate future values, thus is
recommended to validate them running a plot of the gamma values (see output
gamma_y) .
rereserving Boolean, if TRUE the one year risk view loss reserve distribution is derived. De-
fault to FALSE. Note, the runtime can materially increase if set to TRUE.
cum Boolean, indicating whether the input triangle is cumulative or incremental along
the development period. If TRUE, then triangle is assumed to be on the cumu-
lative scale, and it will be converted to incremental losses internally before a
GLM is fitted.
exposure Boolean, if TRUE the exposure defined in the triangle object is specified as
offset in the GLM model specification. Default to FALSE.
bootstrap Integer, it specifies the type of bootstrap for parameter error. Accepted values
are: 0 (disabled), 1 (parametric), 2 (semi-parametric). Default to 1.
boot.adj Integer, it specified the methodology when using semi-parametric bootstrapping.
Accepted values are: 0 (cycles until all the values of the pseudo-triangle are
>= 0), 1 (overwrite negative values to 0.01). Default to 0. Note, runtime can
materially increase when set to 0, as it could struggle to find pseudo-triangles
>= 0)
nsim Integer, number of simulations to derive the loss reserve distribution. Default
to 1000. Note, high num of simulations could materially increase runtime, in
particular if a re-reserving algorithm is used as well.
proc.err Boolean, if TRUE a process error (coherent with the specified model) is added to
the forecasted distribution. Default to TRUE.
p.optim Boolean, if TRUE the model estimates the MLE for the Tweedie’s p parameter.
Default to FALSE. Recommended to use to validate the Tweedie’s p parameter.
p.check If p.optim=TRUE, a vector of p values for consideration. The values must all
be larger than one (if the response variable has exact zeros, the values must all
108 tweedieReserve

be between one and two). Default to c(0,seq(1.1,2.1,by=0.1),3). As fitting

the Tweedie p-value isn’t a straightforward process, please refer to tweedie.profile,
p.vec argument.
progressBar Boolean, if TRUE a progress bar will be shown in the console to give an indication
of bootstrap progress.
... Arguments to be passed onto the function glm or cpglm such as contrasts
or control. It is important that offset and weight should not be specified.
Otherwise, an error will be reported and the program will quit.

Value
The output is an object of class "glm" that has the following components:
call the matched call.
summary A data frame containing the predicted loss reserve statistics. The following items
are displayed:
• Latest: Latest paid
• Det.Reserve: Deterministic reserve, i.e. the MLE GLM estimate of the
Reserve
• Ultimate: Ultimate cost, defined as Latest+Det.Reserve
• Dev.To.Date: Development to date, defined as Latest/Ultimate
The following items are available if bootstrap>0
• Expected.Reserve: The expected reserve, defined as the average of the
reserve simulations. Should be roughly as Det.Reserve.
• Prediction.Error: The prediction error of the reserve, defined as sqrt of
the simulations. Please note that if proc.err=FALSE, this field contains
only the parameter error given by the bootstrap.
• CoV: Coefficient of Variation, defined as Prediction. Error/Expected.Reserve.
• Expected Ultimate: The expected ultimate, defined as Expected.Reserve+Latest.
The following items are availbale if bootstrap>0 & reserving=TRUE
• Expected.Reserve_1yr: The reserve derived as sum of next year payment
and the expected value of the re-reserve at the end of the year. It should
be similar to both Expected.Reserve and Det.Reserve. If it isn’t, it’s
recommended to change regression structure and parameters.
• Prediction.Error_1yr: The prediction error of the prospective Claims
Development Result (CDR), as defined by Wüthrich (CDR=R(0)-X-R(1)).
• Emergence.Pattern: It’s the emergence pattern defined as Prediction.Error_1yr/Prediction.E
Triangle The input triangle.
FullTriangle The completed triangle, where empty cells in the original triangle are filled with
model predictions.
model The fitted GLM, a class of glm or cpglm. It is most convenient to work with this
component when model fit information is wanted.
scale The dispersion parameter phi
bias The model bias, defined as bias<-sqrt(n/d.f)
tweedieReserve 109

GLMReserve Deterministic reserve, i.e. the MLE GLM estimate of the Reserve
gamma_y When the calendar year is used, it displays the observed and fitted calendar year
(usually called "gamma"") factors.
res.diag It’s a data frame for residual diagnostics. It contains:
• unscaled: The GLM Pearson residuals.
• unscaled.biasadj: The GLM Person residuals adjusted by the bias, i.e.
unscaled.biasadj=unscaled*bias.
• scaled: The GLM Person scaled residuals, i.e. scaled=unscaled/sqrt(phi).
• scaled,biasadj: The GLM Person scaled residuals adjusted by the bias,
i.e. scaled.biasadj=scaled*bias.
• dev: Development year.
• origin: Origin year.
• cy: Calendar year.

[If boostrap>1]

distr.res_ult The full distribution "Ultimate View"

[If rereserve=TRUE]

distr.res_1yr The full distribution "1yr View"

Warning
Note that the runtime can materially increase for certain parameter setting. See above for more
details.

Note
This function was born initially as a fork of the glmReserve by Wayne Zhang. I would like to thank
him for his work that permitted me to speed up my coding.

Author(s)
Alessandro Carrato MSc FIA OA <[email protected]>

References
Gigante, Sigalotti. Model risk in claims reserving with generalized linear models. Giornale dell’Istituto
Italiano degli Attuari, Volume LXVIII. 55-87. 2005
England, Verrall. Stochastic claims reserving in general insurance. B.A.J. 8, III. 443-544. 2002
England, Verrall. Predictive distributions of outstanding liabilities in general insurance. A.A.S. 1,
II. 221-270. 2006
Peters, Shevchenko, Wüthrich, Model uncertainty in claims reserving within Tweedie’s compound
poisson models. Astin Bulletin 39(1). 1-33. 2009
Renshaw, Verrall. A stochastic model underlying the chain-ladder technique. B.A.J. 4, IV. 903-923.
1998
110 tweedieReserve

See Also
See also summary.tweedieReserve.

Examples
## Not run:
## Verrall's ODP Model is a Tweedie with p=1, log link and
## origin/development periods as factors, thus c(1,1,0)
res1 <- tweedieReserve(MW2008, var.power=1, link.power=0,
design.type=c(1,1,0), rereserving=TRUE,
progressBar=TRUE)

## To get directly ultimate view and respective one year view

## at selected percentiles
summary(res1)

#To get other interesting statistics

res1$summary

## In order to validate the Tweedie parameter 'p', it is interesting to

## review its loglikelihood profile. Please note that, given the nature
## of our data, it is expected that we may have some fitting issues for
## given 'p' parameters, thus any results/errors should be considered
## only indicatively. Considering different regression structures is anyway
## recommended. Different 'p' values can be defined via the p.check array
## as input of the function.
## See help(tweedie.profile), p.vec parameter, for further information.
## Note: The parameters rereserving and bootstrap can be set to 0 to speed up
## the process, as they aren't needed.

## Runs a 'p' loglikelihood profile on the parameters

## p=c(0,1.1,1.2,1.3,1.4,1.5,2,3)
res2 <- tweedieReserve(MW2008, p.optim=TRUE,
p.check=c(0,1.1,1.2,1.3,1.4,1.5,2,3),
design.type=c(1,1,0),
rereserving=FALSE, bootstrap=0,
progressBar=FALSE)

## As it is possible to see in this example, the MLE of p (or xi) results

## between 0 and 1, which is not possible as Tweedie models aren't
## defined for 0 < p < 1, thus the Error message.
## But, despite this, we can conclude that overall the value p=1 could be
## reasonable for this dataset, as anyway it seems to be near the MLE.

## In order to consider an inflation parameter across the origin period,

## it may be interesting to change the regression structure to c(0,1,1)
## to get the same estimates of the Arithmetic Separation Method, as
## referred in Gigante/Sigalotti.
res3 <- tweedieReserve(MW2008, var.power=1, link.power=0,
design.type=c(0,1,1), rereserving=TRUE,
progressBar=TRUE)
res3
tweedieReserve methods 111

## An assessment on future fitted calendar year values (usually defined

## as "gamma") is recommended
plot(res3$gamma_y)

## Model residuals can be plotted using the res.diag output

plot(scaled.biasadj ~ dev, data=res3$res.diag) # Development year
plot(scaled.biasadj ~ cy, data=res3$res.diag) # Calendar year
plot(scaled.biasadj ~ origin, data=res3$res.diag) # Origin year

## End(Not run)

tweedieReserve methods
Reserve Risk Capital Report

Description
Main purpose of this function is to create a report to assess the reserve risk capital given an object of
the tweedieReserve class. It displays both the ultimate and one year risk views at given percentiles.

Usage
## S3 method for class 'tweedieReserve'
print(x, ...)
## S3 method for class 'tweedieReserve'
summary(object, q = c(0.5, 0.75, 0.9, 0.95, 0.995),...)

Arguments
x An object of class tweedieReserve.
object An object of class tweedieReserve.
q Array of percentiles to be displayed.
... Not used

Value
A list with two items
Predicton a data.frame with ultimate view reserve risk and the one year view reserve risk
at the given percentiles.
Diagnostic Quick diagnostic to show the deterministic reserve vs ultimate view and one
year view best estimate. If the model is working properly, then these three value
shouldn’t be much different.

Author(s)
Alessandro Carrato MSc FIA OA <[email protected]>
112 UKMotor

UKMotor UK motor claims triangle

Description
Triangle of cumulative claims payments for four origin (accident) years over time (development
years).

Usage
data("UKMotor")

Format
A matrix with 7 accident years and 7 development years.

Source
https://www.actuaries.org.uk/system/files/documents/pdf/crm2-D5.pdf

References
Stavros Christofides. Regression models based on log-incremental payments. Claims Reserving
Manual. Volume 2 D5. September 1997

Examples
data(UKMotor)
plot(UKMotor)
MackChainLadder(UKMotor, est.sigma="Mack")
USAA triangle 113

USAA triangle Example paid and incurred triangle data from CAS web site.

Description
Paid and incurred triangle data from the United Services Automobile Association company for the
private passenger auto liability/medical line of business.

Usage
data("USAApaid")

Format
A triangle with 10 accident years and 10 development years.

Details
The claims data comes from Schedule P - Analysis of Losses and Loss Expenses in the National
Association of Insurance Commissioners (NAIC) database. CAS obtained permission from the
NAIC to make this data available to all interested researchers on the CAS website. NAIC Schedule
P contains information on claims for major personal and commercial lines for all property-casualty
insurers that write business in US.

Source
https://www.casact.org

References
CAS website.

Examples
data(USAApaid)

vcov.clark Covariance Matrix of Parameter Estimates – Clark’s methods

Description
Function to compute the covariance matrix of the parameter estimates for the ClarkLDF and Clark-
CapeCod methods.
114 vcov.clark

Usage
## S3 method for class 'clark'
vcov(object, ...)

Arguments
object object resulting from a run of the ClarkLDF or ClarkCapeCod functions.
... not used.

Details
The covariance matrix of the estimated parameters is estimated by the inverse of the Information
matrix (see Clark, p. 53). This function uses the "FI" and "sigma2" values returned by ClarkLDF
and by ClarkCapeCod and calculates the matrix
-sigma2*FI^-1.

Author(s)
Daniel Murphy

References
Clark, David R., "LDF Curve-Fitting and Stochastic Reserving: A Maximum Likelihood Ap-
proach", Casualty Actuarial Society Forum, Fall, 2003

# The estimates of the loglogistic parameters

Y$THETAG
# The standard errors of the estimated parameters
sqrt(tail(diag(vcov(Y)), 2))

# The parameter risks of the estimated reserves are calculated

# according to the formula on p. 54 of Clark's paper. For example, for
# the 5th accident year, pre- and post-multiply the covariance matrix
# by a matrix consisting of the gradient entries for just that accident year
FVgrad5 <- matrix(Y$FutureValueGradient[, 5], ncol=1)
sqrt(t(FVgrad5) %*% vcov(Y) %*% FVgrad5) ## compares to 314,829 in Clark's paper

# The estimated reserves for accident year 5:

Y$FutureValue[5] ## compares to 2,046,646 in the paper
vcov.clark 115

# Recalculate the parameter risk CV for all accident years in total (10.6% in paper):
sqrt(sum(t(Y$FutureValueGradient) %*% vcov(Y) %*% Y$FutureValueGradient)) /
Y$Total$FutureValue
Index

∗ aplot plot.MackChainLadder, 76
plot.BootChainLadder, 71 print.checkTriangleInflation, 81
plot.clark, 73 print.clark, 82
plot.MackChainLadder, 76 print.cyEffTest, 83
plot.MunichChainLadder, 78 print.dfCorTest, 84
∗ array quantile.MackChainLadder, 86
Cumulative and incremental residCov, 90
triangles, 29 summary-methods, 91
∗ classes summary.BootChainLadder, 94
MultiChainLadder-class, 58 summary.checkTriangleInflation, 95
MultiChainLadderFit-class, 61 summary.clark, 96
MultiChainLadderMse-class, 62 summary.cyEffTest, 97
MultiChainLadderSummary-class, 63 summary.dfCorTest, 98
NullNum-class, 68 summary.MackChainLadder, 99
triangles-class, 104 summary.MunichChainLadder, 100
∗ datasets Table65, 101
ABC, 5 triangle S3 Methods, 102
auto, 8 ∗ models
AutoBI, 8 BootChainLadder, 9
GenIns, 34 BS.paid.adj, 11
liab, 43 CDR, 13
M3IR5, 44 chainladder, 15
MCLpaid, 49 ClarkCapeCod, 19
MedMal, 50 ClarkLDF, 23
Mortgage, 50 CLFMdelta, 26
MW2008, 67 coef.ChainLadder, 28
MW2014, 67 glmReserve, 36
qpaid, 85 inflateTriangle, 40
RAA, 89 Join2Fits, 41
UKMotor, 112 JoinFitMse, 42
USAA triangle, 113 LRfunction, 43
∗ methods MackChainLadder, 45
getLatestCumulative, 35 Mse-methods, 51
Mse-methods, 51 MultiChainLadder, 53
plot-MultiChainLadder, 70 MunichChainLadder, 64
plot.checkTriangleInflation, 72 predict.TriangleModel, 79
plot.clark, 73 residuals.MackChainLadder, 90
plot.cyEffTest, 74 tweedieReserve, 106
plot.dfCorTest, 75 ∗ package

116
INDEX 117

ChainLadder-package, 4 (MultiChainLadder-class), 58
∗ plot $,MultiChainLadderSummary-method
plot.checkTriangleInflation, 72 (MultiChainLadderSummary-class),
plot.cyEffTest, 74 63
plot.dfCorTest, 75
∗ print ABC, 5
print.ata, 80 as.data.frame.triangle (triangle S3
print.checkTriangleInflation, 81 Methods), 102
print.clark, 82 as.LongTriangle, 5
print.cyEffTest, 83 as.triangle, 29, 35
print.dfCorTest, 84 as.triangle (triangle S3 Methods), 102
summary.BootChainLadder, 94 ata, 6, 16, 80, 93
summary.MackChainLadder, 99 auto, 8
summary.MunichChainLadder, 100 AutoBI, 8
tweedieReserve methods, 111
bcplm, 37
∗ summary
BootChainLadder, 9, 13, 14, 71, 72, 94, 95
summary.ata, 93
BS.paid.adj, 11
summary.checkTriangleInflation, 95
summary.clark, 96
cbind2,triangles,missing-method
summary.cyEffTest, 97 (triangles-class), 104
summary.dfCorTest, 98 CDR, 13
∗ tests CDR.BootChainLadder, 10
checkTriangleInflation, 17 CDR.MackChainLadder, 48
cyEffTest, 30 ChainLadder (ChainLadder-package), 4
dfCorTest, 32 chainladder, 7, 15, 27, 28, 31, 33, 45, 48, 79
[,triangles,missing,numeric,logical-method ChainLadder-package, 4
(triangles-class), 104 checkTriangleInflation, 17, 41, 72, 73, 81,
[,triangles,missing,numeric,missing-method 96
(triangles-class), 104 ClarkCapeCod, 19, 25, 38, 74, 96, 114
[,triangles,numeric,missing,logical-method ClarkLDF, 22, 23, 38, 74, 96, 97, 114
(triangles-class), 104 CLFMdelta, 26
[,triangles,numeric,missing,missing-method coef,MultiChainLadder-method
(triangles-class), 104 (MultiChainLadder-class), 58
[,triangles,numeric,numeric,missing-method coef.ChainLadder, 28
(triangles-class), 104 coerce,list,triangles-method
[<-,triangles,numeric,numeric,list-method (triangles-class), 104
(triangles-class), 104 cpglm, 36–38
[[,MultiChainLadder,character,missing-method cum2incr (Cumulative and incremental
(MultiChainLadder-class), 58 triangles), 29
[[,MultiChainLadder,numeric,missing-method Cumulative and incremental triangles,
(MultiChainLadder-class), 58 29
[[,MultiChainLadderSummary,character,missing-method
cyEffTest, 30, 33, 46, 48, 74, 75, 84, 98
(MultiChainLadderSummary-class),
63 dfCorTest, 31, 32, 46, 48, 75, 76, 84, 98
[[,MultiChainLadderSummary,numeric,missing-method
dim,triangles-method (triangles-class),
(MultiChainLadderSummary-class), 104
63
$,MultiChainLadder-method family, 37
118 INDEX

fitted,MultiChainLadder-method MultiChainLadderMse-class, 62
(MultiChainLadder-class), 58 MultiChainLadderSummary-class, 63
MunichChainLadder, 57, 64, 69, 78, 101
GenIns, 34 MW2008, 67
GenInsLong (GenIns), 34 MW2014, 67
getLatestCumulative, 35
glm, 36, 38, 108 names,MultiChainLadder-method
glm.nb, 38 (MultiChainLadder-class), 58
glmReserve, 36 names,MultiChainLadderSummary-method
GMCLFit-class (MultiChainLadderSummary-class),
(MultiChainLadderFit-class), 61 63
NullChar-class (NullNum-class), 68
incr2cum (Cumulative and incremental NullList-class (NullNum-class), 68
triangles), 29 NullNum-class, 68
inflateTriangle, 12, 19, 40
PaidIncurredChain, 68
Join2Fits, 41 par, 71, 77, 78
JoinFitMse, 42 plot,MultiChainLadder,missing-method
(plot-MultiChainLadder), 70
liab, 43 plot-methods (plot-MultiChainLadder), 70
list, 105 plot-MultiChainLadder, 70
LRfunction, 43 plot.BootChainLadder, 10, 71
plot.checkTriangleInflation, 72, 81, 96
M3IR5, 44 plot.clark, 20, 24, 73
MackChainLadder, 13–16, 28, 38, 45, 57, plot.cyEffTest, 31, 74, 84, 98
64–66, 69, 76, 77, 79, 87, 89–91, 100 plot.default, 71, 73, 75–78, 103
matplot, 103 plot.dfCorTest, 33, 75, 84, 98
MCLFit-class plot.glmReserve (glmReserve), 36
(MultiChainLadderFit-class), 61 plot.MackChainLadder, 48, 76, 100
MCLincurred (MCLpaid), 49 plot.MunichChainLadder, 66, 78, 101
MCLpaid, 49 plot.triangle (triangle S3 Methods), 102
mean.BootChainLadder predict,GMCLFit-method
(summary.BootChainLadder), 94 (MultiChainLadderFit-class), 61
MedMal, 50 predict,MCLFit-method
Mortgage, 50 (MultiChainLadderFit-class), 61
Mse, 62, 63, 105 predict.ChainLadder, 16
Mse (Mse-methods), 51 predict.ChainLadder
Mse,GMCLFit,triangles-method (predict.TriangleModel), 79
(Mse-methods), 51 predict.TriangleModel, 79
Mse,MCLFit,triangles-method print.ata, 7, 80, 93
(Mse-methods), 51 print.BootChainLadder
Mse-methods, 51 (summary.BootChainLadder), 94
MultiChainLadder, 42, 52, 53, 57, 60, 63, 70, print.checkTriangleInflation, 81
90, 92, 106 print.clark, 82
MultiChainLadder-class, 58 print.ClarkCapeCod (print.clark), 82
MultiChainLadder2 (MultiChainLadder), 53 print.ClarkLDF (print.clark), 82
MultiChainLadderFit, 59, 61 print.cyEffTest, 83
MultiChainLadderFit-class, 61 print.data.frame, 82
MultiChainLadderMse, 59 print.dfCorTest, 84
INDEX 119

print.glmReserve (glmReserve), 36 summary.BootChainLadder, 10, 94

print.MackChainLadder summary.checkTriangleInflation, 73, 81,
(summary.MackChainLadder), 99 95
print.MunichChainLadder summary.clark, 96
(summary.MunichChainLadder), summary.ClarkCapeCod, 83
100 summary.ClarkCapeCod (summary.clark), 96
print.tweedieReserve (tweedieReserve summary.ClarkLDF, 83
methods), 111 summary.ClarkLDF (summary.clark), 96
summary.cyEffTest, 31, 75, 84, 97
qincurred (qpaid), 85 summary.dfCorTest, 33, 76, 84, 98
qpaid, 9, 11, 12, 15, 18, 19, 26, 30–33, 40, 41, summary.glmReserve (glmReserve), 36
45, 48, 85 summary.MackChainLadder, 48, 99
quantile, 86, 94 summary.MunichChainLadder, 66, 100
quantile.BootChainLadder summary.tweedieReserve, 110
(summary.BootChainLadder), 94 summary.tweedieReserve (tweedieReserve
quantile.MackChainLadder, 48, 86, 89 methods), 111
QuantileIFRS17, 87 systemfit, 55

RAA, 89 Table64 (Table65), 101

rbind2,triangles,missing-method Table65, 101
(triangles-class), 104 Table68 (Table65), 101
resid,MultiChainLadder-method title, 71, 77, 78
(MultiChainLadder-class), 58 triangle, 36, 107
resid.glmReserve (glmReserve), 36 triangle (triangle S3 Methods), 102
residCor (residCov), 90 triangle S3 Methods, 102
residCor,MultiChainLadder-method triangles, 57
(residCov), 90 triangles-class, 104
residCor-methods (residCov), 90 tweedie, 36–38, 107
residCov, 90 tweedie.profile, 108
residCov,MultiChainLadder-method tweedieReserve, 106, 111, 112
(residCov), 90 tweedieReserve methods, 111
residCov-methods (residCov), 90
residuals,MultiChainLadder-method UKMotor, 112
(MultiChainLadder-class), 58 USAA triangle, 113
residuals.BootChainLadder USAAincurred (USAA triangle), 113
(summary.BootChainLadder), 94 USAApaid (USAA triangle), 113
residuals.MackChainLadder, 48, 77, 90
rstandard,MultiChainLadder-method vcov,MultiChainLadder-method
(MultiChainLadder-class), 58 (MultiChainLadder-class), 58
vcov.clark, 113
show,MultiChainLadder-method vector, 105
(MultiChainLadder-class), 58
xyplot, 77, 103
show,MultiChainLadderSummary-method
(MultiChainLadderSummary-class),
63
summary,MultiChainLadder-method
(summary-methods), 91
summary-methods, 91
summary.ata, 7, 80, 93

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Chain Ladder

Uploaded by

Chain Ladder

Uploaded by

Package ‘ChainLadder’

Fabio Concina [aut],

ChainLadder-package Methods and Models for Claims Reserving

ABC Run off triangle of accumulated claims data

as.LongTriangle Convert Triangle from wide to long

ata Calculate Age-to-Age Factors

# Volume weighted average age-to-age factor of the "RAA" data

## Label the development columns in "ratio-type" format

auto Run off triangle of accumulated claim data

AutoBI Run off triangles of accumulated claim data

BootChainLadder Bootstrap-Chain-Ladder Model

simClaims array of dimension c(m,n,R) with the simulated claims

B <- BootChainLadder(RAA, R=999, process.distr="gamma")

# fit a distribution to the IBNR

# See also the ABC example in Barnett and Zehnwirth (2007)

## One year claims development result

BS.paid.adj Berquist-Sherman Paid Claim Development Adjustment

adj_paid <- BS.paid.adj( Triangle.rep.counts = AutoBI$AutoBIReportedCounts,

# Calculate the IBNR from the standard unadjusted Paid Triangle

std_ibnr <- summary(MackChainLadder(AutoBI$AutoBIPaid))$Totals[4, 1]

# Calculate the IBNR from the adjusted Paid Triangle

adj_ibnr <- summary(MackChainLadder(adj_paid))$Totals[4, 1]

# Compare the two

## For more examples see:

CDR One year claims development result

Tail factors are currently not supported.

See also MackChainLadder and BootChainLadder

# Example from the 2008 Merz, Wuthrich paper mentioned above

# Example from the 2014 Merz, Wuthrich paper mentioned above

# Example with the BootChainLadder function, assuming overdispered Poisson model

chainladder Estimate age-to-age factors

Models linear regression models for each development period

## straight average age-to-age factors

## ordinary regression age-to-age factors

## Compare different models

CL1 <- chainladder(RAA, delta=1)

CL2 <- chainladder(RAA, delta=2)

## Set 'weights' parameter to use only the last 5 diagonals,

checkTriangleInflation returns a list with the following elements

Triangle Input triangle

Marco De Virgilis <[email protected]>

# Check the level of average inflation Y-o-Y

# Plot the results

# Print the output

ClarkCapeCod Clark Cape Cod method

growthFunction name of the growth function

# Clark's "CapeCod method" also works with triangles that have

# Method also works for a "triangle" with only one row:

# If one value of Premium is appropriate for all origin years

ClarkLDF Clark LDF method

# Clark's "LDF method" also works with triangles that have

# Method also works for a "triangle" with only one row:

CLFMdelta Find "selection consistent" values of delta

CLFMdelta(Triangle, selected, tolerance = .0005, ...)

selected <- mean(c(mean(F), sum(y) / sum(x))) # an average of averages

# Demonstrating an "unreasonable" selected factor.

coef.ChainLadder Extract residuals of a ChainLadder model

Cumulative and incremental triangles

# See the Taylor/Ashe example in Mack's 1993 paper

# See the example in Mack's 1999 paper

#with missing values argument

cyEffTest Testing for Calendar Year Effect

The procedure returns a summary statistic Z which is assumed to be Normally Distributed. It is

# Plot the confidence interval and the test metric

# Print the summary table

# Print only the main outcomes

dfCorTest Testing for Correlations between Subsequent Development Factors

# Plot the confidence interval and the test metric

# Print the summary table

# Print only the main outcomes

GenIns Run off triangle of claims data.

## Convert long format into triangle

getLatestCumulative Triangle information for most recent calendar period.

glmReserve GLM-based Reserving Model

call the matched call.

Wayne Zhang <[email protected]>

Yi,k+1 = Ak + Bk · Yi,k + i,k ,

E(i,k |Yi,1 , . . . , Yi,I+1−k ) = 0.

i,k are symmetrically distributed.