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

Installation

You can install the stable version from CRAN:

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

To install the current development version from github you need the devtools package and the other packages on which ChainLadder depends and links to:

install.packages(c("actuar", "cplm", "grid", "ggplot2", "knitr", "lattice", "Matrix", "MASS", "reshape2", "rmarkdown", "RUnit", "systemfit",  "statmod", "tweedie"))

To install ChainLadder run:

library(devtools)
install_github("mages/ChainLadder")

Usage

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.