Plot.triangle
(Package: DCL) :
Plotting an incremental run-off triangle
Graphical representaion of an incremental run-off triangle.
● Data Source:
CranContrib
● Keywords: Graphics
● Alias: Plot.triangle
●
3 images
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validating.incurred
(Package: DCL) :
Back-test: testing against the experience
A back-test to validate incurred reserve (IDCL) against paid reserve (DCL) or the paid with a Bornhuetter-Fergusson adjustment (BDCL). The validation strategy consists of: (1) Cut ncut=1,2,. diagonals from the observed paid triangle. (2) Apply the three methods (DCL, BDCL and IDCL), and (3) compare forecasts and actual values.
● Data Source:
CranContrib
● Keywords: models
● Alias: validating.incurred
●
2 images
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dcl.boot.prior
(Package: DCL) :
Bootstrap distribution (the full cashflow) adding prior knowledge
Provide the distribution of the IBNR, RBNS and total (RBNS+IBRN) reserves by calendar years and rows using bootstrapping.
● Data Source:
CranContrib
● Keywords: htest
● Alias: dcl.boot.prior
●
1 images
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dcl.boot
(Package: DCL) :
Bootstrap distribution: the full cashflow
Provide the distribution of the IBNR, RBNS and total (RBNS+IBRN) reserves by calendar years and rows using bootstrapping.
● Data Source:
CranContrib
● Keywords: htest
● Alias: dcl.boot
●
1 images
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extract.prior
(Package: DCL) :
Extracting information about zero-claims and severity inflation
A way of extracting information about zero-claims and severity development inflation through the DCL method applied to two counts triangles: number of payments and number of reported claims.
● Data Source:
CranContrib
● Keywords: Statistics
● Alias: extract.prior
●
1 images
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clm
(Package: DCL) :
Classical Chain Ladder Method
Provide the classical chain ladder output consisting of the development (forward) factors and the predictions in the full square. Besides it provides the estimated parameters under the (over-dispersion) Poisson model for the double chain ladder estimation.
● Data Source:
CranContrib
● Keywords: models
● Alias: clm
●
2 images
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bdcl.estimation
(Package: DCL) :
Parameter estimation - DCL model using the BDCL method
Estimate the parameters in the Double Chain Ladder model (delay parameters, severity mean and variance) using the Double Chain Ladder method with a Bornhuetter-Ferguson adjustment. The Bornhuetter-Ferguson tecnhique is applied to stabilise the underwriting inflation parameters using incurred data
● Data Source:
CranContrib
● Keywords: models
● Alias: bdcl.estimation
●
1 images
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Switch from an incremental to a cumulative triangle
● Data Source:
CranContrib
● Keywords: manip
● Alias: get.cumulative
●
0 images
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Plot.cashflow
(Package: DCL) :
Plotting the full cashflow (bootstrap distribution)
Provide histograms and boxplots of the RBNS, IBNR and total(=RBNS+IBNR) cashflows. The boxplots corresponds to the distribution of the outstanding liabities in the future calendar periods. The histograms show the distribution of the reserve (overall total).
● Data Source:
CranContrib
● Keywords: Graphics
● Alias: Plot.cashflow
●
1 images
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Switch from an cumulative to an incremental triangle
● Data Source:
CranContrib
● Keywords: manip
● Alias: get.incremental
●
0 images
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