mlreserve: machine-learning loss reserving on ‘real-world’ triangles (based on a ‘ChainLadder’ fork)

This post presents a function mlReserve() for machine-learning loss reserving on ‘real-world’ triangles, based on a fork of the ‘ChainLadder’ package. It includes two experiments, each scored against a known true reserve: (A) Two triangles from an individual-claims simulator (Wang & Wüthrich), embedded below: chain ladder vs mlReserve, in detail; (…