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
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(ChainLadder) ?ChainLadder demo(ChainLadder)
See the ChainLadder package vignette for more details.
To cite package 'ChainLadder' in publications see the output of:
Markus Gesmann. Claims Reserving and IBNR. Computational Actuarial Science with R. 2014. Chapman and Hall/CRC
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.