chainLadder

Create chainLadder object

Description

Use this workflow to generate unpaid claims for a chainLadder:

1. Load or generate the data for the development triangle.

2. Create two developmentTriangle objects — one for the reported development triangle and one for the paid development triangle.

3. Create a chainLadder object.

4. Use the ibnr function to calculate the incurred-but-not-reported (IBNR) claims.

5. Use the unpaidClaims function to calculate the unpaid claims.

6. Use the summary function to display the chain ladder summary report.

Creation

Syntax

cl = chainladder(dT_reported,dT_paid)

Description

cl = chainladder(dT_reported,dT_paid) creates a chainLadder object using the developmentTriangle objects for reported claims (dT_reported) and paid claims (dT_paid).

Input Arguments

dT_reported — Development triangle for reported claims

developmentTriangle object

Development triangle for reported claims, specified as a previously created developmentTriangle object.

Data Types: object

dT_paid — Development triangle for paid claims

developmentTriangle object

Development triangle for paid claims, specified as a previously created developmentTriangle object.

Data Types: object

Properties

ReportedTriangle — Development triangle for reported claims

developmentTriangle object

Development triangle for reported claims, returned as a developmentTriangle object containing the origin years, development years, and claims.

Data Types: object

PaidTriangle — Development triangle for paid claims

developmentTriangle object

Development triangle for paid claims, returned as a developmentTriangle object containing the origin years, development years, and claims.

Data Types: object

CaseOutstanding — Difference of the latest diagonals of the reported and paid development triangles

vector

Difference of the latest diagonals of the reported and paid development triangles, returned as a vector.

Data Types: double

Object Functions

ibnr	Compute IBNR claims for chainLadder object
unpaidClaims	Compute unpaid claims for chainLadder object
summary	Display summary report for different claims estimates for chain ladder

Examples

Create chainLadder Object

Create a chainLadder object containing simulated insurance claims data.

load InsuranceClaimsData.mat;
head(data)

    OriginYear    DevelopmentYear    ReportedClaims    PaidClaims
    __________    _______________    ______________    __________

       2010             12               3995.7          1893.9  
       2010             24                 4635          3371.2  
       2010             36               4866.8          4079.1  
       2010             48               4964.1            4487  
       2010             60               5013.7          4711.4  
       2010             72               5038.8          4805.6  
       2010             84                 5059          4853.7  
       2010             96               5074.1          4877.9  

Use developmentTriangle to convert the data to a development triangle, which is the standard form for representing claims data. Create two developmentTriangle objects, one for reported claims and one for paid claims.

dT_reported = developmentTriangle(data,'Origin','OriginYear','Development','DevelopmentYear','Claims','ReportedClaims')

dT_reported = 
  developmentTriangle with properties:

                          Origin: {10×1 cell}
                     Development: {10×1 cell}
                          Claims: [10×10 double]
                  LatestDiagonal: [10×1 double]
                     Description: ""
                      TailFactor: 1
    CumulativeDevelopmentFactors: [1.3069 1.1107 1.0516 1.0261 1.0152 1.0098 1.0060 1.0030 1.0010 1]
               SelectedLinkRatio: [1.1767 1.0563 1.0249 1.0107 1.0054 1.0038 1.0030 1.0020 1.0010]

dT_paid = developmentTriangle(data,'Origin','OriginYear','Development','DevelopmentYear','Claims','PaidClaims')

dT_paid = 
  developmentTriangle with properties:

                          Origin: {10×1 cell}
                     Development: {10×1 cell}
                          Claims: [10×10 double]
                  LatestDiagonal: [10×1 double]
                     Description: ""
                      TailFactor: 1
    CumulativeDevelopmentFactors: [2.4388 1.4070 1.1799 1.0810 1.0378 1.0178 1.0080 1.0030 1.0010 1]
               SelectedLinkRatio: [1.7333 1.1925 1.0914 1.0417 1.0196 1.0097 1.0050 1.0020 1.0010]

Create a chainLadder object where the first input argument is the reported development triangle and the second input argument is the paid development triangle.

cl = chainLadder(dT_reported, dT_paid)

cl = 
  chainLadder with properties:

    ReportedTriangle: [1×1 developmentTriangle]
        PaidTriangle: [1×1 developmentTriangle]
     CaseOutstanding: [10×1 double]

Version History

Introduced in R2020b