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ChainLadder

ChainLadder is an R package providing methods and models which are typically used in insurance claims reserving, including:

  • Mack chain-ladder, Munich chain-ladder and Bootstrap models
  • General multivariate chain ladder-models
  • Loss development factor fitting and Cape Cod models
  • Generalized linear models
  • One year claims development result functions
  • Utility functions to:
    • convert tables into triangles and triangles into tables
    • convert cumulative into incremental and incremental into cumulative triangles
    • visualise triangles

For a Python claims reserving package visit chainladder-python.

Installation

You can install the stable version from CRAN:

install.packages('ChainLadder', dependencies = TRUE)

You can also install the package via the Github repository:

# install.package("remotes") # In case you have not installed it.
remotes::install_github("mages/ChainLadder", dependencies = TRUE)

Get started 

library(ChainLadder)
?ChainLadder
demo(ChainLadder)

See the ChainLadder package vignette for more details.

Citation

To cite package ‘ChainLadder’ in publications see the output of:

citation(package="ChainLadder")

See also:

Markus Gesmann. Claims Reserving and IBNR. Computational Actuarial Science with R. 2014. Chapman and Hall/CRC

License

This package is free and open source software, licensed under GPL.

Creative Commons Licence
ChainLadder documentation is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.