LRfunction {ChainLadder} | R Documentation |
This calculates the link ratio function per the CLFM paper.
LRfunction(x, y, delta)
x |
beginning value of loss during a development period |
y |
ending value of loss during a development period |
delta |
numeric |
Calculated the link ratios resulting from a chainladder model over a development period indexed by (possibly vector valued) real number delta. See formula (5) in the References.
A vector of link ratios.
Dan Murphy
Bardis, Majidi, Murphy. A Family of Chain-Ladder Factor Models for Selected Link Ratios. Variance. Pending. 2013. pp.tbd:tbd
x <- RAA[1:9,1]
y <- RAA[1:9,2]
delta <- seq(-2, 2, by = .1)
plot(delta, LRfunction(x, y, delta), type = "l")