Claims reserving and IBNR with R

June 6, 2012
By

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Following previous posts on life contingencies and longevity and mortality models, I upload additional material for the short course at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering organized by ETH Zürich, https://www.rmetrics.org/. The third part of the talk (on Actuarial models with R) will be dedicated to IBNR and claims reserving. A complete set of slides can be downloaded from the blog, but again, only some part will be presented. Note that the slides start with a parallel between mortality tables (in life insurance) and payment triangles (in non-life insurance).

Once again, the codes are from a book on actuarial science in R, written with Christophe Dutang and Vincent Goulet (so far in French) that should appear, some day… The code used in the slides above are based on the following datasets,

> source("http://perso.univ-rennes1.fr/arthur.charpentier/
+ bases.R")

We will built our own functions to derive all quantities. One function used can be found here

> source("http://perso.univ-rennes1.fr/arthur.charpentier/
+ merz-wuthrich-triangle.R")

Finally, note that most of the code can be found in the following library

> library(ChainLadder)

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