EKtheSage/reserve

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README

reserve

Setup

  1. Clone the repo
  2. Devcontainer Rebuild the container
  3. If this is the first time launching the container in a new folder, then need to change directory to lib/vscode-R, open R in the directory, renv should ask you to restore the libraries (languageserver, httpgd) for autocomplete and plotting
  4. Reload VSCode for the setup to take effect

Bayesian Environment

In the scripts folder, we have several models:

  1. Correlated ChainLadder (Incurred)
  2. Changing Settlement Rate (Paid)
  3. Hierarchical Growth Curve (Paid)
    • By LOB, UW Dates
  4. Compartmental Models
    • Multiple Versions of Compartmental Models
  5. Model Comparison using Bayesian LOO
    • Stacking Weight for optimal model
  6. Backtesting
    • Quarterly review starting in 2020-Q1
    • 2020 - 2023 Q4 = 16 snapshot
  • Also show error metrics
  • Parameters
  • Best Estimate Reserve Credible Interval

Contributors

EKtheSage

Issues