ultimateClaims
Description
computes the projected ultimate claims for each origin period, based on the earned
premium and the selected claims ratios for an projectedUltimateClaims
= ultimateClaims(ec
)expectedClaims
object.
Examples
Compute Ultimate Claims for expectedClaims
Object
Compute the projected ultimate claims for an expectedClaims
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. Create two developmentTriangle
objects, one for reported claims and one for paid claims.
dT_reported = developmentTriangle(data,'Origin','OriginYear','Development','DevelopmentYear','Claims','ReportedClaims')
dT_reported = developmentTriangle with properties: Origin: {10x1 cell} Development: {10x1 cell} Claims: [10x10 double] LatestDiagonal: [10x1 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]
dT_paid = developmentTriangle(data,'Origin','OriginYear','Development','DevelopmentYear','Claims','PaidClaims')
dT_paid = developmentTriangle with properties: Origin: {10x1 cell} Development: {10x1 cell} Claims: [10x10 double] LatestDiagonal: [10x1 double] Description: "" TailFactor: 1 CumulativeDevelopmentFactors: [2.4388 1.4070 1.1799 1.0810 1.0378 1.0178 1.0080 1.0030 1.0010 1] SelectedLinkRatio: [1.7333 1.1925 1.0914 1.0417 1.0196 1.0097 1.0050 1.0020 1.0010]
Create an expectedClaims
object where the first input argument is the reported development triangle and the second input argument is the paid development triangle.
earnedPremium = [17000; 18000; 10000; 19000; 16000; 10000; 11000; 10000; 14000; 10000]; ec = expectedClaims(dT_reported, dT_paid,earnedPremium)
ec = expectedClaims with properties: ReportedTriangle: [1x1 developmentTriangle] PaidTriangle: [1x1 developmentTriangle] EarnedPremium: [10x1 double] InitialClaims: [10x1 double] CaseOutstanding: [10x1 double] EstimatedClaimsRatios: [10x1 double] SelectedClaimsRatios: [10x1 double]
Use ultimateClaims
to compute the projected ultimate claims using Expected Claims Technique.
projectedUltimateClaims = ultimateClaims(ec)
projectedUltimateClaims = 10×1
103 ×
4.9910
5.1623
5.5856
5.8067
5.8990
5.9211
5.8895
6.1289
6.1374
6.6034
Input Arguments
ec
— Expected claims
expectedClaims
object
Expected claims, specified as a previously created expectedClaims
object.
Data Types: object
Output Arguments
projectedUltimateClaims
— Projected ultimate claims obtained using expected claims technique
vector
Projected ultimate claims obtained using the expected claims technique, returned as a vector.
Version History
Introduced in R2020b
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