Skip to content

R Package for Actuarial Reserving - reserver

Personal Project

Triangles and LDFs

  • Cumulative Triangles: used to derive Age-to-Age triangles: cum_tri or dev_tri
  • Incremental Triangles: incremental development triangles showing differences between periods: incr_tri
  • Diagnostic Triangles: triangles used to evaluate and diagnose a set of claims data’s historical experience:
  • Average Case Reserve per Open Claim
  • Average Paid per Closed Claim
  • Triangles involving exposure denominators for rating trends
  • Age-to-Age Triangles: used to derive averages and incremental loss development factor selections: ata_tri
  • Incremental Loss Development Factors: used to derive CDFs: ldf or incr_factor
  • Cumulative Loss Development Factors (CDFs): used to develop losses to ultimate: cdf or cum_factor

  • Cumulative Paid and Reported Triangles

  • Gross and Net of any ceded reinsurance.

  • Unlimited and optional limits

  • Cumulative Reported Claim Count Triangle

  • Including and Excluding Closed without payment claims

  • Large claim listing with case reserve values that exceed a particular threshold

  • Calendar period written and earned premiums, policies in force, historical rate changes, and relevant exposure metrics.

Diagnostics:

  • Paid to incurred loss ratios
  • Paid loss severities (paid loss divided by closed with payment counts) and resulting percentage changes between accident years at each age of development
  • Incurred loss severities (incurred loss divided by the difference of reported counts and closed without payment counts) and resulting percentage changes between accident years at each age of development
  • Closed with payment counts to reported counts ratios
  • Closed without payment counts to reported counts ratios
  • Open counts to reported counts ratios
  • Open counts, case reserves, and average case reserves (case reserves divided by open counts)
  • Incremental paid losses and incremental paid loss severities

Patterns:

  • Development factors should be monotonically decreasing and smooth (i.e. not too much volatility)

Development Methods

  • Paid and Reported Loss Development Chain Ladder Methods
  • Reported Claim Count Chain Ladder Loss Development Method
  • Bornhuetter-Ferguson (B-F) Method
  • Incremental Paid Development Method
  • Case Reserve Method
  • Frequency x Severity Method
  • Loss Cost Method

Ultimate Diagnostics

  • Ultimate frequency diagnostic - ultimate claim counts divided by exposure or premium (actual and on-level/trended) for each accident year
  • Ultimate severity diagnostic - ultimate losses (actual and on-level/trended) divided by claim counts for each accident year
  • Ultimate loss ratio diagnostic - ultimate losses / exposure or premium
  • Avg Outstanding Severity - total reserves / Open + IBNR counts
  • Case incurred floor - reviewing the ultimate loss selections for each AY against case reserves to avoid negative IBNR

Contents

list from "1-Projects/reserver" AND !#Type/Readme AND -"Changelog"

Backlinks

list from [[_README]] AND -"Changelog"