linkRatios

Compute link ratios for developmentTriangle object

Syntax

LinkRatiosTable = linkRatios(developmentTriangle)

Description

LinkRatiosTable = linkRatios(developmentTriangle) calculates the link ratios between the current development period and the next for each origin period. You can plot the link ratios using linkRatiosPlot.

Examples

Calculate Link Ratios for Development Triangle

Calculate the link ratios (age-to-age factors) for a developmentTriangle 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.

dT = developmentTriangle(data)

dT = 
  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]

Use the linkRatios function to calculate link ratios between the current development period and the next period.

LinkRatiosTable = linkRatios(dT)

LinkRatiosTable=10×9 table
            12-24    24-36    36-48    48-60    60-72    72-84    84-96    96-108    108-120
            _____    _____    _____    _____    _____    _____    _____    ______    _______

    2010    1.16     1.05      1.02     1.01    1.005    1.004    1.003    1.002      1.001 
    2011    1.18     1.06      1.02     1.01    1.005    1.003    1.003    1.002        NaN 
    2012     1.2     1.06     1.027    1.009    1.005    1.004    1.003      NaN        NaN 
    2013    1.19     1.06     1.026    1.014    1.007    1.004      NaN      NaN        NaN 
    2014    1.18     1.06     1.028    1.011    1.005      NaN      NaN      NaN        NaN 
    2015    1.17     1.05     1.027     1.01      NaN      NaN      NaN      NaN        NaN 
    2016    1.16     1.05     1.026      NaN      NaN      NaN      NaN      NaN        NaN 
    2017    1.18     1.06       NaN      NaN      NaN      NaN      NaN      NaN        NaN 
    2018    1.17      NaN       NaN      NaN      NaN      NaN      NaN      NaN        NaN 
    2019     NaN      NaN       NaN      NaN      NaN      NaN      NaN      NaN        NaN 

Input Arguments

developmentTriangle — Development triangle

developmentTriangle object

Development triangle, specified as a previously created developmentTriangle object.

Data Types: object

Output Arguments

LinkRatiosTable — Link ratios

table

Link ratios, returned as a table.

More About

Link Ratios

Link ratios, also called age-to-age factors or loss development factors (LDFs), represent the ratio of loss amounts from one valuation date to another, and they are intended to capture growth patterns of losses over time.

Version History

Introduced in R2020b