ChainLadder 0.2.0 adds Solvency II CDR functions

March 24, 2015

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

ChainLadder is an R package that provides statistical methods and models for claims reserving in general insurance.

With version 0.2.0 we added new functions to estimate the claims development result (CDR) as required under Solvency II. Special thanks to Alessandro Carrato, Giuseppe Crupi and Mario Wüthrich who have contributed code and documentation.

New Features

  • New generic function CDR to estimate the one year claims development result. S3 methods for the Mack and bootstrap model have been added already:
    • CDR.MackChainLadder to estimate the one year claims development result of the Mack model without tail factor, based papers by Merz & Wüthrich (2008, 2014)
    • CDR.BootChainLadder to estimate the one year claims development result of the bootstrap model.
  • New function tweedieReserve to estimate reserves in a GLM framework, including the one year claims development result.
  • Package vignette has a new chapter on One Year Claims Development Result
  • New example data MW2008 and MW2014 form the Merz & Wüthrich (2008, 2014) papers


  • Source code development moved from Google Code to GitHub
  • now gives warning message when dev. period is a character.
  • Alessandro Carrato, Giuseppe Crupi and Mario Wüthrich have been added as authors, thanks to their major contribution to code and documentation.
  • Christophe Dutang, Arnaud Lacoume and Arthur Charpentier have been added as contributors, thanks to their feedback, guidance and code contribution.


The examples below use the triangle of the 2008 Merz & Wüthrich paper and illustrate how the one year claims development result can be estimated using the new CDR function for output of MackChainLadder and BootChainLadder. Also the tweedieReserve function is demonstrated, which can estimate the one year CDR as well, by setting the argument rereserving to TRUE.

For further details see package vignette and the help pages of the respective functions.


Michael Merz and Mario V. Wüthrich. Modelling the claims development result for solvency purposes. CAS E-Forum, Fall:542–568, 2008

Michael Merz and Mario V. Wüthrich. Claims run-off uncertainty: the full picture. SSRN Manuscript, 2524352, 2014.

Session Info

R version 3.1.3 (2015-03-09)
Platform: x86_64-apple-darwin13.4.0 (64-bit)
Running under: OS X 10.10.2 (Yosemite)

[1] en_GB.UTF-8/en_GB.UTF-8/en_GB.UTF-8/C/en_GB.UTF-8/en_GB.UTF-8

attached base packages:
[1] stats graphics grDevices utils datasets methods base

other attached packages:
[1] ChainLadder_0.2.0 statmod_1.4.20 systemfit_1.1-14 lmtest_0.9-33
[5] zoo_1.7-12 car_2.0-25 Matrix_1.1-5

loaded via a namespace (and not attached):
[1] acepack_1.3-3.3 actuar_1.1-8 cluster_2.0.1
[4] colorspace_1.2-6 digest_0.6.8 foreign_0.8-63
[7] Formula_1.2-0 ggplot2_1.0.0 grid_3.1.3
[10] gtable_0.1.2 Hmisc_3.15-0 lattice_0.20-30
[13] latticeExtra_0.6-26 lme4_1.1-7 MASS_7.3-39
[16] mgcv_1.8-5 minqa_1.2.4 munsell_0.4.2
[19] nlme_3.1-120 nloptr_1.0.4 nnet_7.3-9
[22] parallel_3.1.3 pbkrtest_0.4-2 plyr_1.8.1
[25] proto_0.3-10 quantreg_5.11 RColorBrewer_1.1-2
[28] Rcpp_0.11.5 reshape2_1.4.1 rpart_4.1-9
[31] sandwich_2.3-2 scales_0.2.4 SparseM_1.6
[34] splines_3.1.3 stringr_0.6.2 survival_2.38-1
[37] tools_3.1.3 tweedie_2.2.1

To leave a comment for the author, please follow the link and comment on their blog: mages' blog. offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...

If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Comments are closed.

Search R-bloggers


Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)