Tuesday, 20 August 2013

ChainLadder 0.1.6 released with chain-ladder factor models

Version 0.1.6 of the ChainLadder package has been released and is already available from CRAN.

The new version adds the function CLFMdelta. CLFMdelta finds consistent weighting parameters delta for a vector of selected age-to-age chain-ladder factors for a given run-off triangle.

The added functionality was implemented by Dan Murphy, who is the co-author of the paper A Family of Chain-Ladder Factor Models for Selected Link Ratios by Bardis, Majidi, Murphy. You find a more detailed explanation with R code examples on Dan's blog and see also his slides from the CAS spring meeting.

Slides by Dan Murphy

No comments:

Post a Comment