parallelReserve {ProfileLadder} | R Documentation |
Parallel Based Development Profile Reserve
Description
The function takes a cumulative (or incremental) run-off triangle (partially or completely observed) and returns the reserve estimate obtained by the PARALLAX or REACT algorithm (see Maciak, Mizera, and Pešta (2022) for more details). If the full square is provided as the input then the algorithms still rely only on the partially observed data—run-off triangle only (i.e., the top-left triangular part of the data)—when estimating the underlying reserve but, in addition, incremental residuals (true increments minus predicted increments) are returned for retrospective validation purposes. If the run-off triangle is provided,then algorithm caclulates back-fitted (incremental) residuals instead (see Maciak, Mizera, and Pešta (2022) for details).
Usage
parallelReserve(
chainLadder,
method = "parallax",
cum = TRUE,
residuals = FALSE
)
Arguments
chainLadder |
cumulative or incremental run-off triangle (the triangle
must be of the class |
method |
prediction method to be used: PARALLAX (DEFAULT
|
cum |
logical ( |
residuals |
logical to indicate whether incremental residuals should be provided or not. If the run-off triangle is complete then the residuals are obtained in terms of true increments minus the predicted increments. If the bottom-right part of the triangle is not available the residuals are provided in terms of the backfitting approach (see Maciak, Mizera, and Pesta (2022) for further details) |
Value
An object of the class list
with with the following elements:
reserve |
numeric vector with four values summarizing the reserve: Total
paid amount (i.e., the sum of the last observed diagonal in a cumulative run-off
triangle); Total estimated amount (i.e., the sum of the last column in the
completed cumulative triangle); Estimated reserve (i.e., the sum of the last
column in the completed cumulative triangle minus the sum of the last observed
diagonal in |
method |
algorithm used for the reserve estimation (PARALLAX or REACT) |
completed |
completed functional development profiles (the
lower-right triangular part in |
inputTriangle |
the run-off triangle considered as the input for the underlying estimation algorithm (PARALLAX or REACT) |
trueCompleted |
true (complete) run-off triangle (if available) and
|
residuals |
a triangle with the corresponding residuals (for
|
References
Maciak, M., Mizera, I., and Pešta, M. (2022). Functional Profile Techniques for Claims Reserving. ASTIN Bulletin, 52(2), 449-482. DOI:10.1017/asb.2022.4
See Also
Examples
## run-off (upper-left) triangle with NA values (bottom-right part)
if (requireNamespace("ChainLadder")) {
data(MW2014, package = "ChainLadder")
print(MW2014)
parallelReserve(MW2014, residuals = TRUE)}
## completed run-off triangle with 'unknown' truth (lower-bottom part)
## for the estimation purposes only the upper-left triangle is used
data(CameronMutual)
parallelReserve(CameronMutual, residuals = TRUE)
## the previous output is identical (in term of the reserve prediction)
## but back-fitted residuals are provided in the output instead
print(observed(CameronMutual))
parallelReserve(observed(CameronMutual), residuals = TRUE)