FAViR

Current Papers

These papers have been accepted into FAViR.

• Hello World (PDF) (Sweave) (R) — An very short paper. See Hello World.

• Feature Tour (PDF) (Sweave) (R) — A tour of many of the functions in the FAViR package. See Feature Tour.

Paper Drafts

These drafts are still being written or are under evaluation. Check with our code repository for the latest on these.

• "The POT Package" by Avraham Adler (PDF) (Sweave) (R) — An example use of the Peaks Over Threshold package. A Pareto distribution is fit to the tail observed claim severity data.

• "The Parallelogram Method" (PDF) (Sweave) (R) (Module) — The traditional parallelogram method for on-leveling earned premium. Handles changes in premium volume.

• "Bayesian Claim Severity with Mixed Distributions" (PDF) (Sweave) (R) — Shows how a mixed exponential claim severity distribution can be updated when one or more claims is observed. Follows a rigorous Bayesian methodology.

• "Bayesian Claim Severity Part 2" (PDF) (Sweave) (R) — Similar to the above paper, but handles trended, censored, and truncated data.

• "Basic Reserving" (PDF) (Sweave) (R) — Proposed output for the committee on reserving of the R working group.

• "Basic Reserving" (PDF) (Sweave) (R) — older version of the above. Basic reserving techniques such as Chain Ladder, Cape Cod, BF, etc. as well as some reserving diagnostics
  • This needs to be split up between multiple papers. Perhaps one that just does tail factors, one that compares Bornhuetter-Ferguson and Chain Ladder, and a third that has the traditional non-stochastic reserving methods.
  • Would also be nice to split some of the R code here into modules.