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Overview

ChainLadder (google code name chainladder) is an R package that grew out of presentations the author gave at the Stochastic Reserving Seminar at the Institute of Actuaries in November 2007 and 2008. The package provides the Mack-, Munich- and Bootstrap-chain-ladder models. ChainLadder is also available via CRAN.

New version 0.1.2-12 provides utility functions to convert: triangles <-> tables; incremental <-> cumulative triangles. See also some examples here.

Installation

From CRAN

Start R on your computer and type:

 install.packages('ChainLadder')

From Google Code

R under Windows

R under UNIX

Using ChainLadder

After you installed the package type into R:

 library('ChainLadder')

Documentation

Examples

Presentations

Useful links

News

Version 0.1.2.12
================
NEW FEATURES

 o New triangle class with S3 methods for plot, print and conversion from triangles to data.frames and vis versa
 o New utility functions 'incr2cum' and 'cum2incr' to convert incremental triangles into cumulative triangles
 and vis versa. Thanks to Chritophe Dutang.
 o New logical argument lattice for plot.MackChainLadder (and plot.triangle), which allows to plot developments 
   by origin period in separate panels.  

BUG FIXES

  o 'MunichChainLadder': tail factors were not accepted. Thanks to Stefan Pohl for reporting this issue.


Version 0.1.2-11
===============
BUG FIXES

  o 'MackChainLadder': 'F.se'[ultimate] was calculated of the ultimate column instead of the latest paid. 

Version 0.1.2-10
===============
USER-VISIBLE CHANGES

  o 'MackChainLadder' has new arguments 'tail.sigma' and 'tail.se' to provide estimates
     of the variability for a given tail factor.
 
BUG FIXES

  o 'MackChainLadder': calculation of 'Mack.S.E' did not use an ultimate sigma factor to estimate 
     'Mack.S.E' when a tail factor > 1 was provided (Thanks to Mark Hoffmann for reporting this issue).

Version 0.1.2-9
===============
USER-VISIBLE CHANGES
  o Updated documentation to work with new Rd-file parser (R version >= 2.9.0)
  o Updated documentation for 'ABC' data (Thanks to Glen Barnett)

Version 0.1.2-8
===============
USER-VISIBLE CHANGES
  o Updated documentation for 'MackChainLadder' (Thanks to Daniel Murphy)

Version 0.1.2-7
===============
USER-VISIBLE CHANGES 
  o 'MackChainLadder' gives two more elements back: 'Mack.ProcessRisk' and 'Mack.ParameterRisk' 
     for the process and parameter risk error (Thanks to Daniel Murphy)
  o In the sumumary output of'MackChainLadder' the label 'CV'  changed to 'CV(IBNR)' to clarify 
     that we show the coefficient of variance of the IBNR.
  o 'MackChainLadder' provides new example plots for CV(IBNR) vs. origin period and CV(Ultimate) vs. origin period  
  o Updated documentation

Version 0.1.2-6
===============
USER-VISIBLE CHANGES
  o Updated documentation

Version 0.1.2-5 
===============
NEW FEATURES
  o New function 'BootChainLadder', based on papers by England and Verrall, 
    and Barnett and Zehnwirth
  o 'MackChainLadder' and 'MunichChainLadder' allow for tail factors
  o 'MackChainLadder' estimates the overall standard error for the total IBNR		
  o New arguments 'tail' and 'est.sigma' for MackChainLadder, to control 
    the tail factor and the estimation of sigma_{n-1}
  o New arguments 'tailP', 'tailI' and 'est.sigmaP', 'est.sigmaI' for
    'MunichChainLadder', which are passed on to 'MackChainLadder' to control 
    the tail factor and the estimation of sigma_{n-1} for the Paid and 
    Incurred triangle
  o 'Mack-, 'Munich-, and 'BootChainLadder' accept (mxn) matrices with m>=n,
    e.g more accident years than development years
  o New example data sets: 'ABC' (annual run-off triangle of a worker's 
    compensation portfolio of a large company), 'qpaid', 'qincurred' ('made-up'
    data of a quarterly development triangle of annual origin period)
  o Triangles with higher development period frequency (e.g quarterly) than 
    origin period frequency (e.g annual) can be used after being 'blown-up'
    to a common period frequency, see the help of 'qpaid'
  o 'Mack-, 'Munich- and 'BootChainLadder' accept 'blown-up' triangles of 
    higher development period frequency than origin period frequency filled 
    with 'NA', see the help of 'qpaid'

USER-VISIBLE CHANGES
  o summary functions for 'Mack-, 'Munich-, 'BootChainLadder' give all a list 
    back with two elements: 'ByOrigin' and 'Totals'	
  o Change of labels: origin years -> origin period and development years ->
    development origin
  o Coefficient of Variance is abbreviate with 'CV' instead of 'CoV'
  o The example spreadsheet 'ChainLadder_in_Excel.xls' has new examples, 
    including 'BootChainLadder'
  o New greeting message after the R-call 'library(ChainLadder)'
  o Improved documentation
BUG FIXES
  o 'MunichChainLadder': calculation of 'lambdaP' and 'lambdI' was incorrect. 
    Thanks to Beat Huggler for reporting this issue.

2008-09-23 Markus Gesmann <markus.gesmann@gmail>

	* R/BootstrapReserve.R Included all the functions for the BootChainLadder
	function. The BootChainLadder procedure	provides a predictive
	distribution of reserves for a cumulative claims development
	triangle.
	* R/BootstrapReserve.R, MackChainLadder.R, MunichChainLadder The summary
	methods for MackChainLadder, MunichChainLadder, BootChainLadder
	give a list back with two elements "ByOrigin" and "Totals"
	* R/zzz.R Included a .onLoad function to produce a little meassage
	after the ChainLadder packge is loaded.
	* Excel/ChainLadder_in_Excel.xls Added new examples for
	BootChainLadder and how to use Rapply to call functions from the
	ChainLadder package.

2008-09-18 Markus Gesmann <markus.gesmann@gmail.com>

	* R/MackChainLadder.R Included tail factor estimation. The
	function MackChainLadder has a new argument "tail" to either
	estimate the tail factor via a log-linear regression or to set it manually.
	* data/qpaid.RData, qincurred.RData Added examples of quarterly
	development triangles 

2008-09-08 Markus Gesmann  <markus.gesmann@gmail.com>

         * R/MackChainLadder.R Prepared the functions Mack.S.E and 
	   Total.Mack.S.E to accept triangles with rows full of NA values.
	   This might be useful for non quadratic triangles

2008-05-19  Markus Gesmann  <markus.gesmann@gmail.com>

        * R/MackChainLadder.R Bug fix: Function Mack.S.E did not give F.se back, 
          which is needed by TotalMack.S.E. 
          Many thanks to Florian Leitenstorfer for reporting this issue.

2008-05-11 Markus Gesmann  <markus.gesmann@gmail.com>

	* inst/Excel/ChainLadder_in_Excel.xls uses now dynamic functions 
	and shows how to call 'plot' from Excel 
	* R/MackChainLadderFunctions.R: Changed labels Reserving to IBNR 
	(=Incurred But Not Reported)

2008-02-02  Markus Gesmann  <markus.gesmann@gmail.com>

	* R/MackChainLadderFunctions.R: Mack.S.E checks now which sigma>0 before log
	linear regression of sigma to estimate sigma[n-1]

2008-02-11  Markus Gesmann  <markus.gesmann@gmail.com>

	* R/MackChainLadderFunctions.R: added function
	TotalMack.S.E function to estimate the overall standard error for
	the reserve. MackChainLadder gives now also the
	Total.Mack.S.E. back plus the estimate standard error for all
	individual age-to-age factors F.se.








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