claim_output function

Loss Reserving Output

Outputs the full (or past) square of claim payments by occurrence period and development period. The upper left triangle represents the past, and the lower right triangle the unseen future.

Users can modify the aggregate level by providing an aggregate_level

argument to the function. For example, setting aggregate_level = 4 when working with calendar quarters produces a payment square by occurrence and development year.

Users will also have the option to decide whether to include the out-of-bound transactions to the maximum DQ, or to leave them in a separate "tail" cell, see Details.

claim_output(
  frequency_vector,
  payment_time_list,
  payment_size_list,
  aggregate_level = 1,
  incremental = TRUE,
  future = TRUE,
  adjust = TRUE
)

Arguments

• frequency_vector: a vector of claim frequencies for all the periods.
• payment_time_list: (compound) list of payment times (both the continous time scale and the discrete period versions work).
• payment_size_list: (compound) list of payment size pattern (can be either with or without inflation).
• aggregate_level: number of periods to be aggregated together; must be a divisor of the total number of periods under consideration (default 1).
• incremental: logical; if true returns the incremental payment square, else returns the cumulative payment square.
• future: logical; if true shows the full claim triangle (i.e. including claim payments in future periods), else shows only the past triangle (default TRUE).
• adjust: logical; if true accumulates all payments beyond the max development period to the last development period, else shows a separate "tail" column for all the out-of-bound transactions.

Returns

An array of claims payments.

Details

Remark on out-of-bound payment times : This function allows adjustment for out-of-bound transaction dates, by forcing payments that were projected to fall out of the maximum development period to be paid at the exact end of the maximum development period allowed (when we set adjust = TRUE, which is the default behaviour). For example, if we consider 40 periods of development and a claim incurred in the interval (20, 21] was projected to have a payment at time 62.498210, then for the purpose of tabulation, we can

• treat such a payment as if it occurred at time 60 (adjust = TRUE);
• leave the payment in the "tail" cell, so the user can see the proportion of payments beyond the maximum development period (adjust = FALSE).

Examples

attach(test_claims_object)
# a square of cumulative claims payments by accident and development quarters
CL <- claim_output(frequency_vector, payment_time_list, payment_size_list,
                   aggregate_level = 1, incremental = FALSE)
detach(test_claims_object)