truncate_claims function

Truncate claims data subject to reporting delay

truncate_claims(data, accident, delay, time, .report_col = "report")

Arguments

• data: Full claims data including IBNR
• accident: Accident times. May be an unquoted column name from data.
• delay: Reporting delays. May be an unquoted column name from data.
• time: Observation time (scalar number or one per claim). Claims with accident + delay > time will be truncated. Set time = Inf to only compute reporting times and perform no truncation.
• .report_col: NULL or a column name to store the reporting time report = accident + delay.

Returns

Truncated data. The reporting time is stored in a colnumn named by .report_col unless .report_col is NULL. If both .report_col is NULL and time contains only Infs, a warning will be issued since data will be returned unchanged and no work will be done.

Examples

claims_full <- data.frame(
  acc = runif(100),
  repdel = rexp(100)
)
tau <- 2.0
truncate_claims(claims_full, acc, repdel, tau)