Statistical Methods and Models for Claims Reserving in General Insurance

Various statistical methods and models which are typically used for the estimation of outstanding claims reserves in general insurance, including those to estimate the claims development result as required under Solvency II.

ChainLadder

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

For a Python claims reserving package visit chainladder-python.

Installation

You can install the stable version from CRAN:

install.packages('ChainLadder', dependencies = TRUE)

You can also install the package via the Github repository:

# install.package("remotes") # In case you have not installed it.
remotes::install_github("mages/ChainLadder", dependencies = TRUE)

Get started

library(ChainLadder)
?ChainLadder
demo(ChainLadder)

See the ChainLadder package vignette for more details.

Citation

To cite package 'ChainLadder' in publications see the output of:

citation(package="ChainLadder")

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 is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.