mcReserve {ProfileLadder} | R Documentation |
MACRAME based development profile reserve
Description
The function takes a cumulative (or incremental) run-off triangle (partially or completely observed) and returns the reserve estimate obtained by the MACRAME algorithm (see Maciak, Mizera, and Pešta (2022) for further details).
Usage
mcReserve(
chainLadder,
cum = TRUE,
residuals = FALSE,
states = NULL,
breaks = NULL,
MC = FALSE
)
Arguments
chainLadder |
a cumulative or incremental run-off triangle (the triangle
must be of the class |
cum |
logical to indicate the time of the input triangle provided
(DEFAULT value is |
residuals |
logical to indicate whether (incremental) residuals should
be provided in output or not. If the run-off triangle is completely observed
then the residuals are obtained in terms of the true increments minus the
predicted ones. If the bottom-right triangle is not provided ( |
states |
numeric value to provide either the number of the Markov states
to be used or it can provide an explicit set of the states to be used.
The default setting ( If parameter |
breaks |
vector parameter which provides explicit (unique and monotonly
increasing) break points (disjoint bins) for the run-off triangle incremenets.
Each bin should be represented by the corresponding Markov chain state—either
the values given in |
MC |
logical (by DEFAULT set to |
Value
An object of the type list
with with the following elements:
reserve |
numeric vector with four values: Total paid amount (i.e., the
sum of the last observed diagonal in a cumulative run-off triangle); Total
estimated amount (i.e., the sum of the last column in the completed cumulative
triangle); Estimated reserve (i.e., the sum of the last column in the completed
cumulative triangle minus the sum of the last observed diagonal
in |
method |
algorithm used for the reserve estimation |
fullTriangle |
completed run-off triangle (the upper-left triangular part
is identical with the input triangle in |
inputTriangle |
the input run-off triangle provided in |
trueCompleted |
true completed triangle (if available) where the upper-left
part is used by the MACRAME algorithm to estimate the reserve and the lower-right
part is provided for some evaluation purposes. If the full triangle is not
available |
residuals |
a triangle with the corresponding residuals (for
|
References
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
See Also
incrExplor()
, permuteReserve()
Examples
## run-off (upper-left) triangle with NA values
if (requireNamespace("ChainLadder")) {
data(MW2014, package = "ChainLadder")
print(MW2014)
## MACRAME prediction with (DEFAULT) Markov chain setting
## provided in the output
mcReserve(MW2014, residuals = TRUE, MC = TRUE)}
## completed run-off triangle with 'unknown' truth (lower-bottom run-off triangle)
## with incremental residuals (true increments minus predicted ones) being provided
data(CameronMutual)
mcReserve(CameronMutual, residuals = TRUE)
## the same output in terms of the reserve estimate but back-fitted residuals
## are provided instead (as the run-off triangle is provided only)
data(observed(CameronMutual))
mcReserve(observed(CameronMutual), residuals = TRUE)