Package index

Reserving Models

Five stochastic reserving model implementations

berquist()

Create list for Berquist-Sherman incremental severity model

capecod()

Create list for Kramer Chain Ladder parmaterization model g - Assumed loss emergence model, a function of the parameters a. Note g must be matrix-valued with size rows and size columns g itself Basic design is for g to be a function of a single parameter vector, however in the simulations it is necessary to work on a matrix of parameters, one row for each simulated parameter, so g_obj must be flexible enough to handle both. Here g_obj is nonlinear and based on the Kramer Chain Ladder parmaterization

chain()

Create list for Cape Cod model

hoerl()

Create list for Generalized Hoerl Curve Model with trend g itself Basic design is for g to be a function of a single parameter vector, however in the simulations it is necessary to work on a matrix of parameters, one row for each simulated parameter, so g_obj must be flexible enough to handle both. Here g_obj is Wright's operational time model with trend added

wright()

Create list for Generalized Hoerl Curve with individual accident year levels (Wright's)

Optimization Functions

Maximum likelihood estimation framework

make_negative_log_likelihood()

Make Negative Loglikelihood Function to be Minimized

make_gradient_of_objective()

Make Gradient of the objective function

make_log_hessian()

Make Hessian of the objective function

Utility Functions

Helper functions and data

get_incremental_avg_matrix()

Calculate incremental average matrix

model_description()

Get the long description of a model

Data

Example datasets

B0

B0 is a 10 x 10 matrix representing the upper triangle of a actuarial development triangle used by Roger Hayne to illustrate the stochastic loss reserving software in

A0

A0 is a 10 x 10 matrix representing the upper triangle of a actuarial development triangle used by Roger Hayne to illustrate the stochastic loss reserving software in

dnom

dnom is count forcast for the B0 development triangle; the exposures (claims) used in the denominator #' @format integer vector of length 10

B0

count forcast for the B0 development triangle.

table_1_triangle

table_1_triangle is the development triangle from the reference article

RAA_incremental

RAA Incremental Claims Triangle

RAA_cumulative

RAA Cumulative Claims Triangle