unpaidClaims

Compute unpaid claims for chainLadder object

Since R2020b

Syntax

unpaidClaimsEstimate = unpaidClaims(cl)

unpaidClaimsEstimate = unpaidClaims(___,referenceClaimsType)

Description

unpaidClaimsEstimate = unpaidClaims(cl) computes unpaid claims for the chainLadder object.

unpaidClaimsEstimate = unpaidClaims(___,referenceClaimsType) specifies options using one or more optional arguments in addition to the input argument in the previous syntax.

Examples

Calculate the Unpaid Claims for chainLadder

Calculate the unpaid 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 incurred-but-not-reported (IBNR).

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

Use unpaidClaims to compute the unpaid claims.

unpaidClaimsEstimate = unpaidClaims(cl,'reported')

unpaidClaimsEstimate = 10×1
103 ×

    0.1968
    0.0506
    0.1300
    0.1097
    0.1771
    0.0972
    0.3908
    0.9851
    1.7175
    3.6992

Input Arguments

cl — Chain ladder

chainLadder object

Chain ladder, specified as a previously created chainLadder object.

Data Types: object

referenceClaimsType — Type of claims data

'reported' (default) | character vector with value 'reported' or 'paid' | string with value "reported" or "paid"

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

Data Types: char | string

Output Arguments

unpaidClaimsEstimate — Unpaid claims estimates

array

Unpaid claims estimates, returned as an array.

More About

Unpaid Claims

Unpaid claims are claims reserves for events that have occurred, including both reported and incurred-but-not-reported (IBNR) reserves, as well as the expenses of settling such claims.

Version History

Introduced in R2020b