| ChainLadder-package {ChainLadder} | R Documentation |
The ChainLadder-package grew out of presentations
the author gave at the Stochastic Reserving Seminar at the Institute of Actuaries in November 2007.
This package implements the Mack- and Munich-chain-ladder model using weighted
linear regression, see lm.
An example spreadsheet of how you might want to use these functions in Excel is available in the installation directory of this package. Usually along the line C:/Programmes/R/R-Version/library/ChainLadder/Excel. You need the RExcel-Addin, from http://sunsite.univie.ac.at/rcom/, in order to use the spreadsheet.
| Package: | ChainLadder |
| Type: | Package |
| Version: | 0.1.2 |
| Date: | 2007-12-05 |
| License: | GPL version 2 or later |
Markus Gesmann
Maintainer: Markus Gesmann <markus.gesmann@web.de>
Thomas Mack. Distribution-free calculation of the standard error of chain ladder reserve estimates. Astin Bulletin. Vol. 23. No 2. 1993. pp.213:225
Thomas Mack. The standard error of chain ladder reserve estimates: Recursive calculation and inclusion of a tail factor. Astin Bulletin. Vol. 29. No 2. 1999. pp.361:366
Gerhard Quarg and Thomas Mack. Munich Chain Ladder. Blatter DGVFM 26, Munich, 2004.
data(RAA) RAA MCL=MackChainLadder(RAA) MCL plot(MCL) # Munich Chain Ladder data(MCLpaid) MCLpaid data(MCLincurred) MCLincurred MCL = MunichChainLadder(MCLpaid, MCLincurred) MCL plot(MCL)