ChainLadder: tweedieMethods – R documentation

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tweedieMethods

Reserve Risk Capital Report

Description

Main purpose of this function is to create a report to assess the reserve risk capital given an object of the tweedieReserve class. It displays both the ultimate and one year risk views at given percentiles.

Usage

## S3 method for class 'tweedieReserve'
print(x, ...)
## S3 method for class 'tweedieReserve'
summary(object, q = c(0.5, 0.75, 0.9, 0.95, 0.995),...)

Arguments

`x`	An object of class `tweedieReserve`.
`object`	An object of class `tweedieReserve`.
`q`	Array of percentiles to be displayed.
`...`	Not used

Value

A list with two items

`Predicton`	a data.frame with ultimate view reserve risk and the one year view reserve risk at the given percentiles.
`Diagnostic`	Quick diagnostic to show the deterministic reserve vs ultimate view and one year view best estimate. If the model is working properly, then these three value shouldn't be much different.

Author(s)

Alessandro Carrato MSc FIA OA alessandro.carrato@gmail.com

Examples

## Not run: 
tw <- tweedieReserve(MW2008, rereserving = TRUE)
summary(tw)
# For comparison 
CDR.BootChainLadder(BootChainLadder(MW2008))

## End(Not run)

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