ChainLadder

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

• Mack-, Munich- and Bootstrap-chain-ladder models
• General multivariate chain ladder models
• Loss development factor fitting and Cape Cod models
• Generalized linear models
• Utility functions to:
  • convert quickly tables into triangles
  • triangles into tables
  • cumulative into incremental
  • incremental into cumulative 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 vignettes for more details.

Citation

To cite package 'ChainLadder' in publications use:

Markus Gesmann, Daniel Murphy and Wayne Zhang (2014). ChainLadder: Statistical methods and models for the calculation of outstanding claims reserves in general insurance. R package version 0.1.9.

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 by Markus Gesmann, Dan Murphy and Wayne Zhang is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.