ChainLadder

ChainLadder is an R package providing methods and models which are typically used in insurance claims reserving, including:

• Mack chain-ladder, Munich chain-ladder and Bootstrap models
• General multivariate chain ladder-models
• Loss development factor fitting and Cape Cod models
• Generalized linear models
• One year claims development result functions
• Utility functions to:
  • convert tables into triangles and triangles into tables
  • convert cumulative into incremental and incremental into cumulative triangles
  • visualise triangles

Installation

You can install the stable version from CRAN:

install.packages('ChainLadder')

To install the current development version from github you need the devtools package and the other packages on which ChainLadder depends:

install.packages(c("systemfit", "actuar", "Hmisc", "statmod", "tweedie", "cplm"))

To install ChainLadder run:

library(devtools)
install_github("mages/ChainLadder")

Usage

library(ChainLadder)
?ChainLadder
demo(ChainLadder)

See the ChainLadder package vignette for more details.

Citation

To cite package 'ChainLadder' in publications use:

Markus Gesmann, Daniel Murphy, Wayne Zhang, Alessandro Carrato, Giuseppe Crupi and Mario Wüthrich (2015). ChainLadder: Statistical methods and models for the calculation of outstanding claims reserves in general insurance. R package version 0.2.0.

See also:

Markus Gesmann. Claims Reserving and IBNR. Computational Actuarial Science with R. 2014. Chapman and Hall/CRC

License

This package is free and open source software, licensed under GPL.

ChainLadder documentation is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.