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ultimateClaims

Compute ultimate claims for developmentTriangle object

Description

example

projectedUltimateClaims = ultimateClaims(dT) calculates the projected ultimate claims for each origin period, based on the observed claims and the cumulative development factors.

Examples

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Calculate the projected ultimate claims for a developmentTriangle object containing simulated insurance claims data.

load InsuranceClaimsData.mat;
head(data)
ans=8×4 table
    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: {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 ... ]
               SelectedLinkRatio: [1.1767 1.0563 1.0249 1.0107 1.0054 ... ]

Use the cdfSummary function to calculate CDFs and the percentage of total claims and return a table with the selected link ratios, CDFs, and percentage of total claims.

dT.SelectedLinkRatio = [1.1755, 1.0577, 1.0273, 1.0104, 1.0044, 1.0026, 1.0016, 1.0006, 1.0004];
selectedLinkRatiosTable = cdfSummary(dT)
selectedLinkRatiosTable=3×10 table
                                12-24      24-36      36-48      48-60      60-72      72-84     84-96     96-108    108-120    Ultimate
                               _______    _______    _______    _______    _______    _______    ______    ______    _______    ________

    Selected                    1.1755     1.0577     1.0273     1.0104     1.0044     1.0026    1.0016    1.0006    1.0004        1    
    CDF to Ultimate              1.303     1.1084      1.048     1.0201     1.0096     1.0052    1.0026     1.001    1.0004        1    
    Percent of Total Claims    0.76747    0.90216    0.95422    0.98027    0.99046    0.99482    0.9974     0.999    0.9996        1    

Use the ultimateClaims function to calculate the projected ultimate claims for each origin period, based on the observed claims and the cumulative development factors.

projectedUltimateClaims = ultimateClaims(dT)
projectedUltimateClaims = 10×1
103 ×

    5.0894
    5.1820
    5.6310
    5.8188
    5.9093
    5.8284
    5.8293
    6.1353
    6.0911
    6.4444

Input Arguments

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Development triangle, specified as a previously created developmentTriangle object.

Data Types: object

Output Arguments

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Projected ultimate claims obtained using the development technique, returned as a vector.

Introduced in R2020b