CameronMutual {ProfileLadder} | R Documentation |
Cameron 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 Cameron Mutual Insurance
company from the period 1988 – 1997. The data matrix contains ten
origin/occurrence years (in rows where the first row represents the incident
year 1988) with ten consecutive development periods/years (in columns).
Usage
data(CameronMutual)
Format
CameronMutual
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 regression model).
In practice, the upper-left triangle (the run-off triangle) is typically observed (known) while the bottom-right triangular part of the data matrix is treated as a future payments outcome (an "unknown" truth) that should be estimated/predicted. The Cameron Mutual Insurance data matrix is fully observed to allow for some goodness-of-fit evaluations.
Source
https://www.casact.org/publications-research/research/research-resources
(PP Auto Data Set, NAIC group code: 5320)
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 #1)