Reserving

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.

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.