Predict the Reserve using Chain Ladder Plus Models — predict.clmplusmodel • clmplus

Predict the lower triangle with a clmplus model.

Usage

# S3 method for class 'clmplusmodel'
predict(
  object,
  gk.fc.model = "a",
  ckj.fc.model = "a",
  gk.order = c(1, 1, 0),
  ckj.order = c(0, 1, 0),
  forecasting_horizon = NULL,
  ...
)

Arguments

object: clmplusmodel, Model to predict from.
gk.fc.model: character, model to forecast the cohort component for the last accident period. It can be either arima ('a') or linear model ('l'). Disregarded for models that do not have a cohort effect.
ckj.fc.model: character, model to forecast the calendar period effect. It can be either arima ('a') or linear model ('l'). Disregarded for models that do not have a period effect.
gk.order: integer, order of the arima model with drift for the accident year effect extrapolation. Default to (1,1,0).
ckj.order: integer, order of the arima model with drift for the calendar year effect extrapolation. Default to (0,1,0).
forecasting_horizon: integer, between 1 and the triangle width. Calendar periods ahead for the predictions. Default predictions are to run-off.
...: Extra arguments to be passed to the predict function.

Value

Returns the following output:

reserve: numeric The reserve for each accident period.
ultimate_cost: numeric The ultimate cost for each accident period.
full_triangle: matrix array The complete run-off triangle of cumulative payments, it includes the (input) upper triangle and the predicted (output) lower triangle.
lower_triangle: matrix array The predicted lower triangle of cumulative payments.
development_factors_predicted: matrix array The predicted lower triangle of the extrapolated development factors.
apc_output: list The following output from the age-period-cohort representation: model.fit (fitStMoMo) age-period-cohort model fit. alphaij (matrix array) predicted claim development. lower_triangle_apc (matrix array) predicted lower triangle of cumulative payments in age-period-cohort form. development_factors_apc (matrix array) development factors in age-period-cohort representation.

References

Pittarello, Gabriele, Munir Hiabu, and Andrés M. Villegas. "Replicating and extending chain ladder via an age-period-cohort structure on the claim development in a run-off triangle." arXiv preprint arXiv:2301.03858 (2023).