MidwestMutual {ProfileLadder} | R Documentation |
Midwest Family Mutual Insurance Company data
Description
An illustrative dataset—a matrix (of the dimensions 10x
10) with ten
completed years of claims payment developments of the Midwest Family Mutual
Insurance company from the period 1988 – 1997. The data matrix contains ten
origin/occurrence years (with the first row representing the incident year
1988) and ten consecutive development periods/years (in columns).
Usage
data(MidwestMutual)
Format
MidwestMutual
A simple 10x10
matrix of a class triangle
with ten origin years
(rows) each being fully developed within ten consecutive development
periods/years (columns)
- origin
matrix rows with the occurrence year (origin)
- dev
matrix columns with the development period (development)
Details
The run-off triangle (the upper-left triangular part of the data matrix) contains only positive increments making the triangle suitable for the standard modelling approach—the over-dispersed Poisson model (GLM approach).
In practice, the run-off triangle only (the upper triangular part) of the data matrix is known while the bottom-right triangular part is treated as a future outcome (an "unknown" truth) that should be estimated/predicted. The Midwest Family Mutual Insurance data matrix is fully observed to allow for some retrospective goodness-of-fit evaluations.
Source
https://www.casact.org/publications-research/research/research-resources
(Other Liability Data Set, NAIC group code: 23574)
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
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 (Portfolio #2)