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chainLadder

Create chainLadder object

Since R2020b

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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).

example

Input Arguments

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

Data Types: object

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

Data Types: object

Properties

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

Data Types: object

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

Data Types: object

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

Data Types: double

Object Functions

ibnrCompute IBNR claims for chainLadder object
unpaidClaimsCompute unpaid claims for chainLadder object
summaryDisplay summary report for different claims estimates for chain ladder

Examples

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Open Live Script

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: {10x1 cell}
                     Development: {10x1 cell}
                          Claims: [10x10 double]
                  LatestDiagonal: [10x1 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: {10x1 cell}
                     Development: {10x1 cell}
                          Claims: [10x10 double]
                  LatestDiagonal: [10x1 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: [1x1 developmentTriangle]
        PaidTriangle: [1x1 developmentTriangle]
     CaseOutstanding: [10x1 double]

Version History

Introduced in R2020b

See Also

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