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'.
| Version: | 0.2.0 |
| Depends: | R (≥ 4.1) |
| Imports: | codetools, graphics, parallel, rpart, rngtools, stats, utils, withr |
| Suggests: | ChainLadder, knitr, R.rsp, testthat (≥ 3.0.0) |
| Published: | 2026-11-12 |
| DOI: | 10.32614/CRAN.package.baggingReserve (may not be active yet) |
| Author: | Jan Janoušek 
[aut, cre],
Michal Pešta
[aut] |
| Maintainer: | Jan Janoušek <janousek at karlin.mff.cuni.cz> |
| BugReports: | https://github.com/HeirOfIsildur/baggingReserve/issues |
| License: | GPL (≥ 3) |
| URL: | https://github.com/HeirOfIsildur/baggingReserve |
| NeedsCompilation: | no |
| Citation: | baggingReserve citation info |
| Materials: | README, NEWS |
| CRAN checks: | baggingReserve results |
Documentation:
Downloads:
| Package source: | baggingReserve_0.2.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): baggingReserve_0.2.0.tgz, r-oldrel (arm64): baggingReserve_0.2.0.tgz, r-release (x86_64): baggingReserve_0.2.0.tgz, r-oldrel (x86_64): baggingReserve_0.2.0.tgz |
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