linkRatios
Description
calculates the link ratios between the current development period and the next
for each origin period. You can plot the link ratios using LinkRatiosTable
= linkRatios(developmentTriangle
)linkRatiosPlot
.
Examples
Calculate Link Ratios for Development Triangle
Calculate the link ratios (age-to-age factors) for a developmentTriangle
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.
dT = developmentTriangle(data)
dT = 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]
Use the linkRatios
function to calculate link ratios between the current development period and the next period.
LinkRatiosTable = linkRatios(dT)
LinkRatiosTable=10×9 table
12-24 24-36 36-48 48-60 60-72 72-84 84-96 96-108 108-120
_____ _____ _____ _____ _____ _____ _____ ______ _______
2010 1.16 1.05 1.02 1.01 1.005 1.004 1.003 1.002 1.001
2011 1.18 1.06 1.02 1.01 1.005 1.003 1.003 1.002 NaN
2012 1.2 1.06 1.027 1.009 1.005 1.004 1.003 NaN NaN
2013 1.19 1.06 1.026 1.014 1.007 1.004 NaN NaN NaN
2014 1.18 1.06 1.028 1.011 1.005 NaN NaN NaN NaN
2015 1.17 1.05 1.027 1.01 NaN NaN NaN NaN NaN
2016 1.16 1.05 1.026 NaN NaN NaN NaN NaN NaN
2017 1.18 1.06 NaN NaN NaN NaN NaN NaN NaN
2018 1.17 NaN NaN NaN NaN NaN NaN NaN NaN
2019 NaN NaN NaN NaN NaN NaN NaN NaN NaN
Input Arguments
developmentTriangle
— Development triangle
developmentTriangle
object
Development triangle, specified as a previously created developmentTriangle
object.
Data Types: object
Output Arguments
LinkRatiosTable
— Link ratios
table
Link ratios, returned as a table.
More About
Link Ratios
Link ratios, also called age-to-age factors or loss development factors (LDFs), represent the ratio of loss amounts from one valuation date to another, and they are intended to capture growth patterns of losses over time.
Version History
Introduced in R2020b
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