ibnr

Compute IBNR claims for capeCod object

Since R2021a

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Syntax

ibnrClaims = ibnr(cc)

Description

ibnrClaims = ibnr(cc) computes incurred-but-not-reported (IBNR) claims for reported or paid claims for a capeCod object.

example

Examples

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Open Live Script

This example shows how to compute the incurred-but-not-reported (IBNR) claims for a capeCod object for 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: {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]


dT_paid = developmentTriangle(data,'Origin','OriginYear','Development','DevelopmentYear','Claims','PaidClaims')
dT_paid = 
  developmentTriangle with properties:

                          Origin: {10×1 cell}
                     Development: {10×1 cell}
                          Claims: [10×10 double]
                  LatestDiagonal: [10×1 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 a capeCod object where the first input argument is the reported development triangle, the second input argument is the paid development triangle, and the third input is the earned premium.

earnedPremium = [17000; 18000; 10000; 19000; 16000; 10000; 11000; 10000; 14000; 10000];
cc = capeCod(dT_reported, dT_paid,earnedPremium)
cc = 
  capeCod with properties:

           ReportedTriangle: [1×1 developmentTriangle]
               PaidTriangle: [1×1 developmentTriangle]
              EarnedPremium: [10×1 double]
              UsedUpPremium: [10×1 double]
       EstimatedClaimRatios: [10×1 double]
         ExpectedClaimRatio: 0.4258
    EstimatedExpectedClaims: [10×1 double]
          PercentUnreported: [10×1 double]
            CaseOutstanding: [10×1 double]

Use ibnr to compute the IBNR claims.

ibnrClaims = ibnr(cc)
ibnrClaims = 10×1

         0
    7.6650
   12.7454
   48.3382
   66.0055
   63.9011
  118.9799
  208.8065
  594.2093
  999.9805

Input Arguments

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Cape Cod object, specified as a previously created capeCod object.

Data Types: object

Output Arguments

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IBNR claims, returned as an array.

More About

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Version History

Introduced in R2021a

See Also

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