### Non-Life Insurance: Mathematics and Statistics ### Exercise Sheet 13 ### Exercise 4 ### Load the required packages library(readxl) library(ChainLadder) ### Download the data from the link indicated on the exercise sheet ### Store the data under the name "Exercise13Data.xls" in the same folder as this R code ### Load the data data <- read_excel("Exercise13Data.xls", sheet = "Data_1", range = "B22:K31", col_names = FALSE) ### Bring the data in the appropriate triangular form and label the axes tri <- as.triangle(as.matrix(data)) dimnames(tri)=list(origin=1:nrow(tri),dev=1:ncol(tri)) ### Calculate the CL reserves and the corresponding mseps M <- MackChainLadder(tri, est.sigma = "Mack") ### CL reserves and Mack's square-rooted mseps (including illustrations) M plot(M) plot(M, lattice = TRUE) ### CL reserves, MW's square-rooted mseps and Mack's square-rooted mseps CDR(M) ### Mack's square-rooted mseps in % of the reserves round(CDR(M)[,3] / CDR(M)[,1],3) * 100 ### MW's square-rooted mseps in % of Mack's square-rooted mseps round(CDR(M)[,2] / CDR(M)[,3],2) * 100 ### Full uncertainty picture CDR(M, dev="all")