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mages / ChainLadder

Claims reserving models in R
https://mages.github.io/ChainLadder/
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CLFM Variability #23

Open rajesh06 opened 8 years ago

rajesh06 commented 8 years ago

Do you plan on implementing the variability calculations from Section 4.2 of the CLFM paper in this package?

chiefmurph commented 8 years ago

Most of that calculation is already built in to the package, if you only know how to get it! (The psi function is not yet implemented.) Here is an article I posted to my blog about CLFM with ChainLadder: http://trinostics.blogspot.com/2013/07/implementing-clfm-with-chainladder.html Does this give you most of what you are looking for? If you would like to see the psi function implemented, please let me know. Thanks for your interest in ChainLadder!