AggregateDataPP {clmplus}

Pre-process Run-Off Triangles

Description

Pre-process Run-Off Triangles.

Usage

AggregateDataPP(
  cumulative.payments.triangle,
  entries.weights = NULL,
  eta = 1/2
)

Arguments

cumulative.payments.triangle

triangle matrix or matrix array object, input triangle of cumulative payments.

entries.weights

triangle matrix or matrix array model entries weights.

eta

numeric, individual claims exposure in the cell, also known as lost exposure. It must be in the interval (0,1].

Value

An object of class AggregateDataPP. Lists the following elements:

cumulative.payments.triangle

triangle matrix object, input triangle of cumulative payments.

occurrance

matrix array object, the occurrence derived from the input triangle.

exposure

matrix array object, the exposure derived from the input triangle, under the eta claims arrival assumption.

incremental.payments.triangle

triangle matrix object, incremental payments derived from the input.

fit.w

matrix array object, the weights used during estimation.

J

integer, Run-off triangle dimension.

diagonal

numeric, cumulative payments last diagonal.

eta

numeric, Expected time-to-event in the cell. I.e., lost exposure.

References

Pittarello, G., Hiabu, M., & Villegas, A. M. (2023). Replicating and extending chain-ladder via an age-period-cohort structure on the claim development in a run-off triangle. arXiv preprint arXiv:2301.03858.

Examples

data(sifa.mtpl)
sifa.mtpl.rtt <- AggregateDataPP(cumulative.payments.triangle=sifa.mtpl)