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MackChainLadder error with multiple rows at same age #52

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trinostics opened this issue Jul 16, 2018 · 0 comments
Open

MackChainLadder error with multiple rows at same age #52

trinostics opened this issue Jul 16, 2018 · 0 comments

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@trinostics
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When two origin periods are at the same age, the statistics are calculated but the recursive generation at future ages fails due to incorrect looping logic. Here is a 3x3 example from GenIns:

G <- GenIns[8:10,1:3]
summary(MackChainLadder(G, est.sigma = "Mack"))$ByOrigin
Latest Dev.To.Date Ultimate IBNR Mack.S.E CV(IBNR)
8 2864498 1.0000000 2864498 0 0.0 NaN
9 1363294 0.4961176 2747925 1384631 234192.7 0.1691373
10 344014 0.1311672 2622713 2278699 305432.5 0.1340381

Now duplicate the last row:

G <- rbind(G, 11 = G["10",])
summary(MackChainLadder(G, est.sigma = "Mack"))$ByOrigin
Latest Dev.To.Date Ultimate IBNR Mack.S.E CV(IBNR)
8 2864498 1.0000000 2864498 0 0.0 NaN
9 1363294 0.4961176 2747925 1384631 0.0 0.00000000
10 344014 0.1311672 2622713 2278699 226228.3 0.09927961
11 344014 0.1311672 2622713 2278699 305432.5 0.13403811

Origin year 9 loses its standard error and origin years 10 and 11 should be the same.

The ability to handle rows at the same age is important when analyzing origins broken down into more detail. I will work on a solution that incorporates ChainLadder's GetLatestCumulative function.

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