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Description

Actuarial Functions for Non-Life Insurance Modelling.

Assists actuaries and other insurance modellers in pricing, reserving and capital modelling for non-life insurance and reinsurance modelling. Provides functions that help model excess levels, capping and pure Incurred but not reported claims (pure IBNR). Includes capped mean, exposure curves and increased limit factor curves (ILFs) for LogNormal, Gamma, Pareto, Sliced LogNormal-Pareto and Sliced Gamma-Pareto distributions. Includes mean, probability density function (pdf), cumulative probability function (cdf) and inverse cumulative probability function for Sliced LogNormal-Pareto and Sliced Gamma-Pareto distributions. Includes calculating pure IBNR exposure with LogNormal and Gamma distribution for reporting delay. Includes three shiny tools, one to simulate insurance claims applying reinsurance structures, fit generalised linear models and fit claims frequency or severity distributions. Methods used in the package refer to Free for All by Yiannis Parizas (2023) <https://www.theactuary.com/2023/03/02/free-all>; Escaping the triangle by Yiannis Parizas (2019) <https://www.theactuary.com/features/2019/06/2019/06/05/escaping-triangle>; Take to excess by Yiannis Parizas (2019) <https://www.theactuary.com/features/2019/03/2019/03/06/taken-excess>.

NetSimR

NetSimR is an R package providing functions which are usually used in insurance pricing, capital modelling and claims reserving, including:

  • Capped mean
  • Exposure curves from severity curves
  • Increased limit factor curves from severity curves
  • Sliced distribution functions
  • Pure IBNR estimation from reporting delay distributions

Three shiny tools are also included in this package:

  • Distribution fitting tool allows fitting claims distributions for frequency or severity.
  • GLM fitting tool allows fitting different glm distributions.
  • Claims simulation tool allows simulating fitted claims applying various reinsurance structures.
Metadata

Version

0.1.5

License

Unknown

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