We released version 0.2.2 of ChainLadder a few weeks ago. This version adds back the functionality to estimate the index parameter for the compound Poisson model in glmReserve using the cplm package by Wayne Zhang. Ok, what does this all mean? I will r...
Over the weekend we released version 0.2.1 of the ChainLadder package for claims reserving on CRAN. New FeaturesNew function PaidIncurredChain by Fabio Concina, based on the 2010 Merz & Wüthrich paper Paid-incurred chain claims reserving methodFun...
ChainLadder is an R package that provides statistical methods and models for claims reserving in general insurance.With version 0.2.0 we added new functions to estimate the claims development result (CDR) as required under Solvency II. Special thanks t...
Taking the first step is often the hardest: getting data from Excel into R. Suppose you would like to use the ChainLadder package to forecast future claims payments for a run-off triangle that you have stored in Excel.How do you get the triangle into R...
Over the weekend we released version 0.1.8 of the ChainLadder package for claims reserving on CRAN. What is claims reserving?The insurance industry, unlike other industries, does not sell products as such but promises. An insurance policy is a promise ...
Version 0.1.6 of the ChainLadder package has been released and is already available from CRAN.The new version adds the function CLFMdelta. CLFMdelta finds consistent weighting parameters delta for a vector of selected age-to-age chain-ladder factors fo...
Last week we released version 0.1.5-6 of the ChainLadder package on CRAN. The ChainLadder package provides statistical models, which are typically used for the estimation of outstanding claims reserves in general insurance. The package vignette gives a...
This is the third post about Christofides' paper on Regression models based on log-incremental payments [1]. The first post covered the fundamentals of Christofides' reserving model in sections A - F, the second focused on a more realistic exam...
Following on from last week's post I will continue to go through the paper Regression models based on log-incremental payments by Stavros Christofides [1]. In the previous post I introduced the model from the first 15 pages up to section F. Today I...
A recent post on the PirateGrunt blog on claims reserving inspired me to look into the paper Regression models based on log-incremental payments by Stavros Christofides [1], published as part of the Claims Reserving Manual (Version 2) of the Institute ...
