Cumulative and incremental triangles {ChainLadder} | R Documentation |
Cumulative and incremental triangles
Description
Functions to convert between cumulative and incremental triangles
Usage
incr2cum(Triangle, na.rm=FALSE)
cum2incr(Triangle)
Arguments
Triangle |
triangle. Assume columns are the development period, use transpose otherwise. |
na.rm |
logical. Should missing values be removed? |
Details
incr2cum
transforms an incremental triangle into a cumulative
triangle, cum2incr
provides the reserve operation.
Value
Both functions return a triangle
.
Author(s)
Markus Gesmann, Christophe Dutang
See Also
See also as.triangle
Examples
# See the Taylor/Ashe example in Mack's 1993 paper
#original triangle
GenIns
#incremental triangle
cum2incr(GenIns)
#original triangle
incr2cum(cum2incr(GenIns))
# See the example in Mack's 1999 paper
#original triangle
Mortgage
incMortgage <- cum2incr(Mortgage)
#add missing values
incMortgage[1,1] <- NA
incMortgage[2,1] <- NA
incMortgage[1,2] <- NA
#with missing values argument
incr2cum(incMortgage, na.rm=TRUE)
#compared to
incr2cum(Mortgage)
[Package ChainLadder version 0.2.19 Index]