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mages / ChainLadder

Claims reserving models in R
https://mages.github.io/ChainLadder/
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CDR at 99.5% #4

Closed Free-rider closed 8 years ago

Free-rider commented 9 years ago

I am trying to calculate the CDR for solvency II proposes. How can I get the CDR from BootChainLadder object at 99.5% ? Thanks!

updated: CDR(BCL, probs=c(0.995))

chiefmurph commented 9 years ago

Please read Markus' blog and example here: http://www.magesblog.com/2015/03/chainladder-020-adds-solvency-ii-cdr.html?m=1 Hope that helps. Dan

mages commented 9 years ago

It's quite simple. There is an argument for that:

library(ChainLadder) set.seed(1) B <- BootChainLadder(RAA) CDR(B, probs=0.995) IBNR IBNR.S.E CDR(1)S.E CDR(1)99.5% 1981 0.0000 0.0000 0.0000 0.000 1982 201.8727 738.9566 738.9566 3586.522 1983 701.7293 1312.3666 1093.9933 4732.426 1984 1714.5232 1975.1876 1435.5236 7598.519 1985 2717.7202 2166.9789 1562.4295 8722.895 1986 3728.3322 2445.9520 1829.9943 10438.143 1987 5413.8329 3127.7957 2136.4822 12854.808 1988 10879.2099 5003.5989 3451.7499 22376.221 1989 10936.4075 6086.9802 4703.2961 26506.884 1990 16831.3456 13323.5153 11328.3650 57238.396 Total 53124.9736 18679.4567 15302.9446 101143.77

On 22 October 2015 at 14:28, chiefmurph notifications@github.com wrote:

Please read Markus' blog and example here:

http://www.magesblog.com/2015/03/chainladder-020-adds-solvency-ii-cdr.html?m=1 Hope that helps. Dan

— Reply to this email directly or view it on GitHub https://github.com/mages/ChainLadder/issues/4#issuecomment-150223591.