bornhuetterFerguson

Create bornhuetterFerguson object

Description

Use this workflow to generate unpaid claims for a bornhuetterFerguson:

1. Load or generate the data for the Bornhuetter-Ferguson technique.

2. Create a developmentTriangle object.

3. Create an expectedClaims object.

4. Create a bornhuetterFerguson object.

5. Use the ultimateClaims function to calculate the ultimate claims.

6. Use the ibnr function to calculate the incurred-but-not-reported (IBNR) claims.

7. Use the unpaidClaims function to calculate the unpaid claims.

8. Use the summary function to generate a summary report for the Bornhuetter-Ferguson technique.

Creation

Syntax

bf = bornhuetterFerguson(dT_reported,dT_paid,expectedClaims)

Description

bf = bornhuetterFerguson(dT_reported,dT_paid,expectedClaims) creates a bornhuetterFerguson object using the developmentTriangle objects for reported claims (dT_reported) and paid claims (dT_paid) and the expectedClaims.

Input Arguments

dT_reported — Development triangle for reported claims

developmentTriangle object

Development triangle for reported claims, specified as a previously created developmentTriangle object.

Data Types: object

dT_paid — Development triangle for paid claims

developmentTriangle object

Development triangle for paid claims, specified as a previously created developmentTriangle object.

Data Types: object

expectedClaims — Expected claims estimates for each Origin period

array

Expected claims estimates for each Origin period, specified as an array.

Data Types: double

Properties

ReportedTriangle — Development triangle for reported claims

developmentTriangle object

Development triangle for reported claims, returned as a developmentTriangle object containing the origin years, development years, and claims.

Data Types: object

PaidTriangle — Development triangle for paid claims

developmentTriangle object

Development triangle for paid claims, returned as a developmentTriangle object containing the origin years, development years, and claims.

Data Types: object

expectedClaims — Expected claims estimates for each Origin period

array

Expected claims estimates for each Origin period, returned as an array.

Data Types: double

Object Functions

ultimateClaims	Compute projected ultimate claims for bornhuetterFerguson object
ibnr	Compute IBNR claims for bornhuetterFerguson object
unpaidClaims	Compute unpaid claims estimates for bornhuetterFerguson object
summary	Display summary report for Bornhuetter-Ferguson analysis

Examples

Create bornhuetterFerguson Object

Create a bornhuetterFerguson object containing simulated insurance claims data.

load InsuranceClaimsData.mat;
head(data)

    OriginYear    DevelopmentYear    ReportedClaims    PaidClaims
    __________    _______________    ______________    __________

       2010             12               3995.7          1893.9  
       2010             24                 4635          3371.2  
       2010             36               4866.8          4079.1  
       2010             48               4964.1            4487  
       2010             60               5013.7          4711.4  
       2010             72               5038.8          4805.6  
       2010             84                 5059          4853.7  
       2010             96               5074.1          4877.9  

Use developmentTriangle to convert the data to a development triangle, which is the standard form for representing claims data. Create two developmentTriangle objects, one for reported claims and one for paid claims.

dT_reported = developmentTriangle(data,'Origin','OriginYear','Development','DevelopmentYear','Claims','ReportedClaims')

dT_reported = 
  developmentTriangle with properties:

                          Origin: {10×1 cell}
                     Development: {10×1 cell}
                          Claims: [10×10 double]
                  LatestDiagonal: [10×1 double]
                     Description: ""
                      TailFactor: 1
    CumulativeDevelopmentFactors: [1.3069 1.1107 1.0516 1.0261 1.0152 1.0098 1.0060 1.0030 1.0010 1]
               SelectedLinkRatio: [1.1767 1.0563 1.0249 1.0107 1.0054 1.0038 1.0030 1.0020 1.0010]

dT_paid = developmentTriangle(data,'Origin','OriginYear','Development','DevelopmentYear','Claims','PaidClaims')

dT_paid = 
  developmentTriangle with properties:

                          Origin: {10×1 cell}
                     Development: {10×1 cell}
                          Claims: [10×10 double]
                  LatestDiagonal: [10×1 double]
                     Description: ""
                      TailFactor: 1
    CumulativeDevelopmentFactors: [2.4388 1.4070 1.1799 1.0810 1.0378 1.0178 1.0080 1.0030 1.0010 1]
               SelectedLinkRatio: [1.7333 1.1925 1.0914 1.0417 1.0196 1.0097 1.0050 1.0020 1.0010]

Create an expectedClaims object where the first input argument is the reported development triangle and the second input argument is the paid development triangle.

earnedPremium = [17000; 18000; 10000; 19000; 16000; 10000; 11000; 10000; 14000; 10000];
ec = expectedClaims(dT_reported, dT_paid,earnedPremium)

ec = 
  expectedClaims with properties:

         ReportedTriangle: [1×1 developmentTriangle]
             PaidTriangle: [1×1 developmentTriangle]
            EarnedPremium: [10×1 double]
            InitialClaims: [10×1 double]
          CaseOutstanding: [10×1 double]
    EstimatedClaimsRatios: [10×1 double]
     SelectedClaimsRatios: [10×1 double]

Create a bornhuetterFerguson object with reported claims, paid claims, and expected claims to calculate ultimate claims, case outstanding, IBNR claims, and unpaid claims estimates.

bf = bornhuetterFerguson(dT_reported, dT_paid, ec.InitialClaims)

bf = 
  bornhuetterFerguson with properties:

     ReportedTriangle: [1×1 developmentTriangle]
         PaidTriangle: [1×1 developmentTriangle]
       ExpectedClaims: [10×1 double]
    PercentUnreported: [10×1 double]
        PercentUnpaid: [10×1 double]
      CaseOutstanding: [10×1 double]

Version History

Introduced in R2020b