Package: baggingReserve 0.2.0

baggingReserve: Bagging and Regression Trees for Individual Claims Reserving

Claim-level (individual) loss reserving in non-life insurance, and the means to check claim-level reserves against the payments that followed. A data contract turns a table of claims and a table of payment transactions into a claim-by-development-year panel at a valuation date; a recursion engine completes the payment history of every reported claim one development year ahead, with plugged-in means or simulated payments, for regression trees, their bootstrap aggregation (bagging) and user-supplied learners; payments for incurred-but-not-reported claims are added from chain-ladder claim counts and the average predicted payment per development year; and back-tests score a prediction and a reference method such as the chain ladder against realised payments by calendar year and component. The default estimator is the method of Janoušek and Pešta (2025) <doi:10.1007/s00362-025-01715-9>, one regression tree per development year with bagging for replicate predictions, whose spread describes the bootstrap resampling variation of the predictions of (by default unpruned) trees, and an out-of-bag diagnostic of the one-year regressions; for totals beyond next year simulated instead of plugged-in completion is recommended. Ships a reproducible synthetic individual-claims dataset generated with the individual claims simulator of Wang and Wüthrich, built on 'SynthETIC'.

Authors:Jan Janoušek [aut, cre], Michal Pešta [aut]