Package: DCL 0.1.2

Maria Dolores Martinez-Miranda

DCL: Claims Reserving under the Double Chain Ladder Model

Statistical modelling and forecasting in claims reserving in non-life insurance under the Double Chain Ladder framework by Martinez-Miranda, Nielsen and Verrall (2012).

Authors:Maria Dolores Martinez-Miranda, Jens Perch Nielsen and Richard Verrall

DCL_0.1.2.tar.gz
DCL_0.1.2.tar.gz(r-4.5-noble)DCL_0.1.2.tar.gz(r-4.4-noble)
DCL_0.1.2.tgz(r-4.4-emscripten)DCL_0.1.2.tgz(r-4.3-emscripten)
DCL.pdf |DCL.html✨
DCL/json (API)

# Install 'DCL' in R:
install.packages('DCL', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

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This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

17 exports 1 stars 0.36 score 10 dependencies 1 mentions 33 scripts 249 downloads

Last updated 2 years agofrom:bd9aa3502f. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 07 2024
R-4.5-linuxOKSep 07 2024

Exports:Aggregatebdcl.estimationclmdcl.bootdcl.boot.priordcl.estimationdcl.predictdcl.predict.priorextract.priorget.cumulativeget.incrementalidcl.estimationPlot.cashflowPlot.clm.parPlot.dcl.parPlot.trianglevalidating.incurred

Dependencies:deldirinterpjpeglatticelatticeExtraMASSpngRColorBrewerRcppRcppEigen

Readme and manuals

Help Manual

Help pageTopics
Claims Reserving under the Double Chain Ladder ModelDCL-package DCL
Switch to a higher level of aggregationAggregate
Parameter estimation - DCL model using the BDCL methodbdcl.estimation
Classical Chain Ladder Methodclm
Bootstrap distribution: the full cashflowdcl.boot
Bootstrap distribution (the full cashflow) adding prior knowledgedcl.boot.prior
Parameter estimation - Double Chain Ladder modeldcl.estimation
Pointwise predictions (RBNS/IBNR split)dcl.predict
Pointwise predictions (RBNS/IBNR split) adding prior knowledgedcl.predict.prior
Extracting information about zero-claims and severity inflationextract.prior
Cumulative triangleget.cumulative
Incremental triangleget.incremental
Parameter estimation - DCL model reproducing the incurred reserve.idcl.estimation
Incurred data (BDCL example)ItriangleBDCL
Number of non-zero payments (adding prior knowledge example)NpaidPrior
Number of reported claims (BDCL example)NtriangleBDCL
Number of reported claims (DCL example)NtriangleDCL
Number of reported claims (adding prior knowledge example)NtrianglePrior
Plotting the full cashflow (bootstrap distribution)Plot.cashflow
Plotting the estimated chain ladder parametersPlot.clm.par
Plotting the estimated parameters in the DCL modelPlot.dcl.par
Plotting an incremental run-off trianglePlot.triangle
Back-test: testing against the experiencevalidating.incurred
Paid data (BDCL example)XtriangleBDCL
Paid data (DCL example)XtriangleDCL
Paid data (adding prior knowledge example)XtrianglePrior