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Old 07-21-2019, 08:16 PM
Mitsu96 Mitsu96 is offline
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Default Loss Development Triangles - Development Period (Age) in R

Hello everyone,

I am trying to create a loss development triangle in R using the 'ChainLadder' package. What I am getting stuck is how to create a formula for the 'Development Period (Age)' variable. My dataframe consist of accident date (mm/dd/yyyy), accident year(yyyy), valuation date(mm/dd/yyyy) and valuation year(yyyy), in individual columns. While, I can easily create 'Age' for a 12 months period, for example,

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Age = (ValuationYear - AccidentYear)*12

Using the formula, I can call the paid losses for the Accident Year 2005, evaluated on 12/31/2005 due to the 12 months development period. And the paid losses for the Accident Year 2003, evaluated on 12/31/2005 due to the 36 months development period.

However, I can't seem to create the right formula for a 6 months period, such as,

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So, in this example, I am trying to call the paid losses for the Accident Year of 2005, as of 6/31/2005, corresponding to the 6 months interval. Also, I am trying to call the paid losses for the Accident Year of 2004, as of 12/31/2004, in reference to the 12 months interval. I don't know how to create a formula for such a development period.

Similarly, I am not sure how to create formulas for 3 or 4 months development period. So, pretty much apart from 12 months of development, I have no clue on how to proceed with other periods. Is there any other easier way to create loss triangles in R? Any help is appreciated! Thank you so much!
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Old 07-21-2019, 09:56 PM
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Vorian Atreides Vorian Atreides is offline
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  1. Check your 12 month formula. Consider that AD = 11/01/2011 with ED = 12/31/2011 will give you age 0 when it should be age 12.

  2. What you want to do here, I think, is calculate the number of months of development and then bin accordingly.
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age, chainladder, development, loss triangle

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