ChainLadder is a free and open-source R package that provides methods which are typically used in insurance claims reserving.
In addition, ChainLadder offers some utility functions to convert quickly tables into triangles, triangles into tables, cumulative into incremental and incremental into cumulative triangles.
The ChainLadder package also uincludes an example spreadsheet which demonstrates how to use the ChainLadder functions in Excel.
The spreadsheet is located in the Excel folder of the package. The R command system.file("Excel", package="ChainLadder") will tell you the exact path to the directory.
To use the spreadsheet you will need the RExcel-Addin. The package also provides an example SWord file, demonstrating how the the functions of the package can be integrated into a MS Word file via SWord. Again you find the Word file via the command: system.file("SWord", package="ChainLadder").
ChainLadder is cross-platform and it works on Mac OS X, Windows and Linux.
Detailed instructions on how to install and use the ChainLadder utility on your Mac are available HERE.
· Go to the "Downloads" tab on this site and download the most recent tar.gz-file (source code) to your hard drive.
· Open a terminal window and navigate to the folder where you saved the tar.gz-file and type: R CMD INSTALL ChainLadder_x.x.x.tar.gz (replace x.x.x with the version number)
What's New in This Release: [ read full changelog ]
· The list output of the MackChainLadder function now includes the parameter risk and process risk breakdowns of the total risk estimate for the sum of projected losses across all origin years by development age.
· The Mack Method's recursive parameter risk calculation now enables Dr. Mack's original two-term formula (the default) and optionally the three-term formula found in Murphy's 1994 paper and in the 2006 paper by Buchwalder, Buhlmann, Merz, and Wuthrich.
· A few more Mack Method examples.