R ChainLadder's log-linear tail

R ChainLadder's MackChainLadder(tail = TRUE) rule, its tailfactor() function, with its quirks: when the third- and second-last factors multiply to more than 1.0001, log(f - 1) is regressed on the development index over the factors above 1 and the next 100 extrapolated factors are multiplied; otherwise the tail is 1. A tail above 2 is reset to 1. The tail is a single factor to ultimate.

Usage

tail_log_linear()

Value

A tail_log_linear object.

See also

tail_constant(), tail_curve(), tail_bondy().

Examples

long <- data.frame(year = rep(2018:2021, 4:1),
                   age = c(12, 24, 36, 48, 12, 24, 36, 12, 24, 12),
                   paid = c(100, 150, 165, 170, 110, 170, 180, 120, 175, 130))
m <- mack(triangle(long, "year", "age", "paid"), tail = tail_log_linear())
m@tail
#> [1] 1.008519
m@tail_sigma
#> [1] 0.2393307
m@standard_error
#>      2018      2019      2020      2021 
#>  4.652005  7.541425 10.033100 12.953828