ChainLadder: ata – R documentation

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ata

Calculate Age-to-Age Factors

Description

Calculate the matrix of age-to-age factors (also called "report-to-report" factors, or "link ratios") for an object of class triangle.

Usage

ata(Triangle, NArow.rm = TRUE, colname.sep = "-",
        colname.order=c("ascending","descending"))

Arguments

`Triangle`	a loss "triangle". Must be a `matrix`.
`NArow.rm`	`logical` indicating if rows of age-to-age (ata) factors that are all `NA` should be removed. "All-NA" rows typically occur for the most recent origin year of a loss triangle.
`colname.sep`	a `character` indicating the separator character to place between the column names of `Triangle` that will be used to lable the columns of the resulting matrix of ata factors
`colname.order`	"ascending" indicates that the less mature age comes first in the column labels of the ata matrix

Details

ata constructs a matrix of age-to-age (ata) factors resulting from a loss "triangle" or a matrix. Simple averages and volume weighted averages are saved as "smpl" and "vwtd" attributes, respectively.

Value

A matrix with "smpl" and "vwtd" attributes.

Author(s)

Daniel Murphy

Examples

ata(GenIns)

# Volume weighted average age-to-age factor of the "RAA" data
y <- attr(ata(RAA), "vwtd")
y
# "To ultimate" factors with a 10% tail
y <- rev(cumprod(rev(c(y, 1.1))))
names(y) <- paste(colnames(RAA), "Ult", sep="-")
y

## Label the development columns in "ratio-type" format
ata(RAA, colname.sep=":", colname.order="desc")

ChainLadder

Statistical Methods and Models for Claims Reserving in General Insurance

v0.2.12

GPL (>= 2)

Authors

Markus Gesmann [aut, cre], Daniel Murphy [aut], Yanwei (Wayne) Zhang [aut], Alessandro Carrato [aut], Giuseppe Crupi [ctb], Christophe Dutang [ctb], Arnaud Lacoume [ctb], Arthur Charpentier [ctb], Mario Wuthrich [aut], Fabio Concina [aut], Eric Dal Moro [aut], Yuriy Krvavych [ctb], Vincent Goulet [ctb], Marco De Virgilis [ctb]

Initial release

2021-01-05

ata