ibnr

Compute IBNR claims for chainLadder object

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Syntax

ibnrClaims = ibnr(cl)
ibnrClaims = ibnr(___,referenceClaimsType)

Description

ibnrClaims = ibnr(cl) computes incurred-but-not-reported (IBNR) claims for a chainLadder object.

example

ibnrClaims = ibnr(___,referenceClaimsType) additionally specifies the type of claims data. Specify this argument after the input argument in the previous syntax.

example

Examples

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Open Live Script

Calculate the IBNR claims for a chainLadder 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 a chainLadder object where the first input argument is the reported development triangle and the second input argument is the paid development triangle.

cl = chainLadder(dT_reported, dT_paid)
cl = 
  chainLadder with properties:

    ReportedTriangle: [1×1 developmentTriangle]
        PaidTriangle: [1×1 developmentTriangle]
     CaseOutstanding: [10×1 double]

Use ibnr to compute the IBNR claims.

ibnrClaims = ibnr(cl, 'reported')
ibnrClaims = 10×1
103 ×

         0
    0.0052
    0.0169
    0.0349
    0.0575
    0.0880
    0.1489
    0.3019
    0.6084
    1.5181

Input Arguments

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Chain ladder, specified as a previously created chainLadder object.

Data Types: object

Type of claims data, specified as a character vector or string.

Data Types: char | string

Output Arguments

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IBNR claims, returned as an array.

.

More About

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Version History

Introduced in R2020b

See Also

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