chain_ladder_INBR_claims.ijs

Script: ~addons/finance/finexec/actuarialnonlife/chain_ladder_IBNR_claims.ijs
Contributor: William Szuch
Updated: 2022 6 25
Depend: ~addons/finance/finexec/actuarialnonlife/matrix_tools.ijs
       ‘~addons/finance/finexec/actuarialnonlife/gi_tools.ijs’
        ~addons/graphics/plot/plot.ijs
Definitions: loaded to locale base
Status: dev
Script source: chain_ladder_IBNR_claims.ijs
IBNR: Incurred But Not Reported claims
Chain ladder calculations of IBNR claim numbers.
The development of claim numbers from claims reported data.
Definitions:
Incident/Accident periods = period in which incident/accident occurred
Use Incident period
Report period = period that the incident was reported
Development period = Incident period - report period.
Example Data
Tables T1 and T2
Notes:

Definitions

C chl_dev_ratios, chl_proj
T T1
T1 n Example Data: Claim numbers incident by report period

chl_dev_ratios (monad)

Form: explicit
Depend:
Part 1: calculation of development ratios and
review the results

Syntax

chl_dev_ratios(T)
T = table of claim numbers to be developed using chain ladder method.
    incident by report period
    For simple case of a square matrix (eg. claim mumbers)
    with only one number in last column. (for later development).
    Completes development to last development period.

Example

 Shows details of the calculation for the average development ratios.
  chl_dev_ratios (T1)
 Review the results before doing projection.

chl_proj (dyad)

Form: explicit
Depend: ?
Projection of future claims numbers (IBNR).
This follows after running chl_dev_ratios.
Set the assumed development rations from avrtage ratios.

Syntax

(Assumed_R)chl_proj(T)
Assumed_R = assumed development rations for the projection
T = table of claim numbers to be developed.

Example

 (Assumed_R)chl_proj(T1)
 (Assumed_R1)chl_proj(T1)
 (Assumed_R2)chl_proj(T1)