ChainLadder 0.1.6 released with chain-ladder factor models

August 20, 2013

(This article was first published on mages' blog, and kindly contributed to R-bloggers)

Version 0.1.6 of the ChainLadder package has been released and is already available from CRAN.

The new version adds the function CLFMdelta. CLFMdelta finds consistent weighting parameters delta for a vector of selected age-to-age chain-ladder factors for a given run-off triangle.

The added functionality was implemented by Dan Murphy, who is the co-author of the paper A Family of Chain-Ladder Factor Models for Selected Link Ratios by Bardis, Majidi, Murphy. You find a more detailed explanation with R code examples on Dan’s blog and see also his slides from the CAS spring meeting.

Slides by Dan Murphy

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