RtTriangle {clmplus}

Reverse time triangles

Description

This function allows to define the class of triangles for reverse time models.

Usage

RtTriangle(cumulative.payments.triangle, k = 1/2)

Arguments

cumulative.payments.triangle

Input triangle of cumulative payments.

k

Claims exposure in the cell, also known as lost exposure.

Value

An object of class "RtTriangle". Lists the following elements:

cumulative.payments.triangle

Input triangle of cumulative payments.

occurrance

Matrix that contains the occurrance derived from the input triangle.

exposure

Matrix that contains the exposure derived from the input triangle, under the uniform claims arrival assumption.

incremental.payments.triangle

Triangle of incremental payments derived from the input.

J

Run-off triangle dimension.

diagonal

Cumulatives payments last diagonal.

References

Hiabu, Munir. “On the relationship between classical chain ladder and granular reserving.” Scandinavian Actuarial Journal 2017 (2017): 708 - 729.

Examples

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