Aug 28, 2013

IBNR with the Bornhuetter-Ferguson Method using the R ChainLadder package

This is the third of a trilogy of posts demonstrating how to implement three basic deterministic Property&Casualty/General/Non-Life insurance actuarial techniques using the ChainLadder package in R.

In simplest form, the Bornhuetter-Ferguson ("BF") Method estimates IBNR for an accident/policy/underwriting/origin year (tranch of exposure) as the product of an a-priori estimate of ultimate loss for that exposure and an estimate of the percent of that ultimate loss unknown/unreported/undeveloped at the time:

Jun 22, 2013

IBNR with the Loss Ratio Method using the ChainLadder package

ChainLadder is a package for the R statistical environment that contains various functions for performing loss reserving for Property/Casualty/General Insurance. Mostly, the package's functions are intended to implement sophisticated stochastic models, but many simpler, deterministic methods are relatively easy to perform using helper functions in the package. This post will demonstrate how to calculate IBNR with the Loss Ratio Method.

Jun 12, 2013

IBNR with the Chain-Ladder Method using the R ChainLadder package

ChainLadder is a package for the R statistical environment that contains various functions for performing loss reserving for Property/Casualty/General/Non-Life Insurance. Mostly, the package's functions are intended to implement sophisticated stochastic models, but many simpler, deterministic methods are relatively easy to perform using helper functions in the package. This post will demonstrate how to calculate IBNR with the Chain-Ladder Method using the ChainLadder package.