The making of a shiny mauc: chapter 2

This continues last week's post The making of a shiny mauc, based on Greg McNulty's mauc blog. It utilizes the RStudio interface to R, Desktop version.

Recall, the goal is to make an online shiny app that will run Greg's code using his data, all supplied in his post. Today we will address what modifications are necessary to show his first plot (below) on a web page. In a subsequent post we will see how to display all Greg's plots. After that we will see how

The making of a shiny mauc

When an excess of loss (XOL) reinsurance pricing actuary has only indemnity to work with, how can s/he reflect allocated loss adjustment expense (ALAE) in final cost projections? Such is the situation addressed by Greg McNulty in his blog Modeling ALAE Using Copulas (MAUC). According to McNulty, the classical approach — loading the indemnity value of each claim with an average ALAE/indemnity ratio — rests on "two very strong implicit assumptions": 1) ALAE and indemnity are "scaled copies" of each other and 2) ALAE and indemnity are "100% correlated." When those assumptions are questionable McNulty suggests an alternative approach.

Water Damage at Cal!

Dag Lohmann gave an exhaustive (not "-ing"!) presentation on Katrisk modeling of water damage at  The Berkeley R Language Beginner Study Group last night in The Ark. A bit beyond "beginner", Dag! :-) Thanks for the snips of your shiny. Nice graphs.

pasteFromExcel

Suppose you have a triangle in Excel that you would like to analyze in R. In Excel, select the cells comprising the triangle including the labels identifying accident year and age and copy to the clipboard.

AIM Matters

Props to my college roommate, Brian Conrey, who this summer celebrated the 20 year anniversary of the American Institute of Mathematics (AIM), a math "think tank" in Palo Alto, California. With the help of math enthusiast John Fry and a supportive board, AIM has discovered creative ways to generate mathematics research at all levels. For example, Math Teachers' Circles (MTCs) bring together middle school teachers and professional mathematicians around the country to work on interesting problems that help bolster the classroom skills of our early math instructors. AIM originated the SQuaREs program, an inventive way to gather researchers into concentrated week-long workshops, a fertile model that non-math disciplines could look to emulate. Science Nation recently highlighted AIM's partnership with Driscoll's (Watsonville CA) and other berry growers that modeled various water and land management techniques for balancing aquifer levels ("Strawberry fields forever - with some help from mathematicians!”).

This week the Frys.com Open golf tournament takes place at the Silverado Resort and Spa in Napa, California. Besides volunteering as Shotlink operators, AIM supporters will also be manning a booth. Come on by to learn more and meet some nice mathematicians!

Implementing CLFM with the ChainLadder Package

One of the requirements of the popular stochastic reserving method known as the Mack Method (see for example Dr. Mack's original paper, Murphy's original paper, Barnett & Zehnwirth, and others) is that the actuary select one of the "standard" averages, such as the simple or volume-weighted averages of the observed link ratios. If an actuary's selection differs from one of those then -- strictly speaking -- the results of the papers above do not apply.

IBNR with the Bornhuetter-Ferguson Method using the R ChainLadder package

This is the third of a trilogy of posts demonstrating how to implement three basic deterministic Property&Casualty/General/Non-Life insurance actuarial techniques using the ChainLadder package in R.

In simplest form, the Bornhuetter-Ferguson ("BF") Method estimates IBNR for an accident/policy/underwriting/origin year (tranch of exposure) as the product of an a-priori estimate of ultimate loss for that exposure and an estimate of the percent of that ultimate loss unknown/unreported/undeveloped at the time: