NevadaGeneral {ProfileLadder} | R Documentation |
Nevada General Insurance Company data
Description
An illustrative dataset—a matrix (of the dimensions 10x
10) with ten
completed years of claims payment developments of the Nevada General Insurance
company from the period 1988 – 1997. However, the data matrix only contains
four non-zero origin/occurrence years (from the period 1994 – 1997) all being
fully developed for ten consecutive development periods/years (in columns).
The remaining matrix rows are all zeros. The resulting run-off triangle
(the upper-left triangular part of the data matrix) is, therefore, sparse and
very uninformative.
Usage
data(NevadaGeneral)
Format
NevadaGeneral
A simple 10x10
matrix of a class triangle
with ten origin years
(rows) each being fully developed within ten consecutive development
periods (columns). However, only for development profiles are nonzero and
standard (parametric) reserving techniques (e.g. the ODP model) are not
applicable
- origin
matrix rows with the occurrence year (origin)
- dev
matrix columns with the development period (development)
Details
In practice, the reserve for such sparse run-off triangles is not estimated by any stochastic model but, instead, an expert judgement is used to declare the reserve. Nevertheless, the nonparametric estimation performed by PARALLAX, REACT, or MACRAME can still provide resonable reserve estimates
Source
https://www.casact.org/publications-research/research/research-resources
(PP Auto Data Set, NAIC group code: 10007)
References
Meyers, G. G. and P. Shi (2011). Loss reserving data pulled from NAIC Schedule P. Available from https://www.casact.org/publications-research/research/research-resources