MRMR version 0.1.3 is now available on CRAN. This is (almost) the same version that was discussed at the CLRS two weeks ago. MRMR - Multivariate Regression Models for Reserving- is a tool for non-life actuaries to estimate liability reserves. The emphasis is on exploratory data analysis, visualization and model diagnostics. At present, the framework [...]
Category: Loss reserving
PirateGrunt goes to the CLRS
Yesterday, I had the great pleasure to speak about using R for loss reserving at the Casualty Loss Reserving Seminar in Boston. My time was spent talking about MRMR, an R package that I've created. Version 0.1.2 is now on CRAN, but as there are a couple of bugs, I'd suggest waiting until version 0.1.3 [...]
Reserve Musings
Some further musings about loss reserving. 1. Why do we develop reported losses? By definition, they're correlated to paid (Reported = Paid + Case). Does a projection of reported losses convey anything new and meaningful to us? Here's a simple experiment: project reported and paid using whatever means you think are appropriate. Take the projected [...]
Fun with random effects in loss reserving
For some time now, I've advocated for the view that non-life loss reserving constitutes a categorized linear regression. I'll emphasize that the idea of a linear regression isn't remotely novel. Further, the categorization is the de facto approach. I'm merely recognizing it and suggesting instances where a decision may be made about the optimality of [...]
Clustering Loss Development Factors
Anytime I get a new hammer, I waste no time in trying to find something to bash with it. Prior to last year, I wouldn't have known what a cluster was, other than the first half of a slang term used to describe a poor decision-making process. Now I've seen it in action a [...]
Object Orientation in R – Notes from a novice
Having posted some code to Git a few days ago and having been wholly dissatisfied with it, I began to do what I often do with code I don't like. I started re-writing it bigger and weirder and more philosophically pure. Part of this search for Platonic code lead me to explore object oriented programming [...]
Loss reserving has a new, silly name
I started using Git some time ago, but mostly for local work files. Today, I finally sync'ed up a repository for loss reserving analysis. It may be found here: https://github.com/PirateGrunt/MRMR MRMR stands for Multivariate Regression Model for Reserves. When pronounced "Mister Mister" it also sounds like a thankfully forgotten American soft pop band from the [...]
You can’t spell loss reserving without R
Last year, I spent a morning trying to return to first principles when modeling loss reserves. (Brief aside to non-actuaries: a loss reserve is the financial provision set aside to pay for claims which have either not yet settled, or have not yet been reported. If that doesn't sound fascinating, this will likely be a [...]
Confit de Stanard, Part 1 – The Rant
I'm breaking this up into two parts to isolate the political elements from the purely objective presentation. I'll start off with some very biased comments about the legacy of Stanard's Monte Carlo reserving example. The next post will present that model in R. It's now been over 30 years since Stanard published his famous (to [...]
Testing Assumption Testing
I've been doing a lot of linear modeling this year. That's not much different than any ordinary year, but now I'm doing it in R. I had spent a bit of time in recent years trying to look at loss reserving as a multivariate regression. Excel is happy to do that, but testing various predictor [...]
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