The code is written for the paper "Stochastic Ensemble Loss Reserving", with the following authors: Benjamin Avanzi, Yanfeng Li, Bernard Wong, Alan Xian. paper on arxiv
The scripts for reserving ensembles can produce the standard linear pool ensemble and the Accident Development periods dependent on Linear Pools (ADLP) ensembles tailored to the general insurance loss data. The ensemble's performance can also be evaluated by running the Statistical Tests file.
Please run the R scripts in the following order: Loading Required Packages -> Defining Relevant Function -> Fitting Component Models -> Building Standard Linear Pools -> Building ADLP Ensemble -> Simulating Reserve Quantile -> Statistical Tests