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
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", "statmod", "tweedie"))To install ChainLadder run:
library(devtools)
install_github("mages/ChainLadder")library(ChainLadder)
?ChainLadder
demo(ChainLadder)See the ChainLadder package vignette for more details.
To cite package 'ChainLadder' in publications use:
Markus Gesmann, Daniel Murphy, Wayne Zhang, Alessandro Carrato, Giuseppe Crupi, Mario Wüthrich and Fabio Concina (2015). ChainLadder: Statistical methods and models for the calculation of outstanding claims reserves in general insurance. R package version 0.2.2.
See also:
Markus Gesmann. Claims Reserving and IBNR. Computational Actuarial Science with R. 2014. Chapman and Hall/CRC
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.
