Skip to content

MackChainLadder error with multiple rows at same age #52

@trinostics

Description

@trinostics

When two origin periods are at the same age, the statistics are calculated but the recursive generation at future ages fails due to incorrect looping logic. Here is a 3x3 example from GenIns:

G <- GenIns[8:10,1:3]
summary(MackChainLadder(G, est.sigma = "Mack"))$ByOrigin
Latest Dev.To.Date Ultimate IBNR Mack.S.E CV(IBNR)
8 2864498 1.0000000 2864498 0 0.0 NaN
9 1363294 0.4961176 2747925 1384631 234192.7 0.1691373
10 344014 0.1311672 2622713 2278699 305432.5 0.1340381

Now duplicate the last row:

G <- rbind(G, 11 = G["10",])
summary(MackChainLadder(G, est.sigma = "Mack"))$ByOrigin
Latest Dev.To.Date Ultimate IBNR Mack.S.E CV(IBNR)
8 2864498 1.0000000 2864498 0 0.0 NaN
9 1363294 0.4961176 2747925 1384631 0.0 0.00000000
10 344014 0.1311672 2622713 2278699 226228.3 0.09927961
11 344014 0.1311672 2622713 2278699 305432.5 0.13403811

Origin year 9 loses its standard error and origin years 10 and 11 should be the same.

The ability to handle rows at the same age is important when analyzing origins broken down into more detail. I will work on a solution that incorporates ChainLadder's GetLatestCumulative function.

Metadata

Metadata

Assignees

No one assigned

    Labels

    No labels
    No labels

    Projects

    No projects

    Milestone

    No milestone

    Relationships

    None yet

    Development

    No branches or pull requests

    Issue actions