Christian Lorentzen digs into loss reserving:
Ask a reserving actuary how they run a Chain-Ladder and you’ll usually hear “Excel” or the name of a pricey specialized tool. It turns out a modern dataframe library handles it just as well — in a few lines, for hundreds of companies at once.
We use the CAS loss reserving data, specifically the other liability line of business (LoB): 233 US insurers (“GRNAME”), 10 accident years (1998–2007), paid and incurred losses at every development lag (1-10). We treat 2007 as our reporting year, i.e. we simulate a year-end closing.
Click through for a demonstration and a comparison against R’s ChainLadder package.