The MBMCL R package for multi-line stochastic reserving

After working on a bootstrapping framework for the Mack model, with a one-year point of view and with several triangles to bootstrap jointly, i decided to put some of my code into a litle package, mbmcl.

Provisionnement et risque de réserve en assurance construction

My actuarial thesis got published online there This work took me a little more than one year to do, an was dealing with non-life reserving in solvency 2 context for the french decenial insurance contracts.

A R package for Multi-boot Mack chain-ladder: mbmcl

`mbmcl` is a simple package that implements a one-year bootstrap in the Braun model, with extension to a mutli-year reserving cases (french decenial insurance).

Reserving and reserving risk in french builder’s insurance

In this master thesis, we analyse French builder’s insurance under Solvency II constraints, regarding reserving risk. We first recall basic models, deterministic and stochastic, used in non-life insurance, then present new models shaped for the tri-dimentionnal issue of French construction insurance, including the estimation of variability in every point of view and Solvency II reserve risk.

Mack's model is a Glm !

Which actuary does not know about Mack’s model ? Due to Mack (1991), this model is fairly simple. Suppose you have a triangle. Ok seeing the origin dates of claims, thoose data are old.