sicr

sicr is an R package to implement the stochastic individual claims reserving which was first published by Dirk Skowasch and Torsten Grabarz (see 08.03.2022 on https://www.qx-club.de/ARCHIV/). It is based on the paper of Murphy & McLennan but extends it in some areas for better applicability under Solvency II.

Installation

You can install the package via the Github repository:

# install.package("remotes") # In case you have not installed it.
remotes::install_github("dskowasch/sicr", dependencies = TRUE)

Get started

The sicr package vignette describes the usage in detail with a complete example.