ChainLadder 0.2.2 is out with improved glmReserve function

We released version 0.2.2 of ChainLadder a few weeks ago. This version adds back the functionality to estimate the index parameter for the compound Poisson model in glmReserve using the cplm package by Wayne Zhang. Ok, what does this all mean? I will run through a couple of examples and look behind the scene of glmReserve. However, the clue is in the title, glmReserve is a function that uses a generalised linear model to estimate future claims, assuming claims follow a Tweedie distribution.

Bayesian regression models using Stan in R

It seems the summer is coming to end in London, so I shall take a final look at my ice cream data that I have been playing around with to predict sales statistics based on temperature for the last couple of weeks [1], [2], [3]. Here I will use the new brms (GitHub, CRAN) package by Paul-Christian Bürkner to derive the 95% prediction credible interval for the four models I introduced in my first post about generalised linear models.

Visualising theoretical distributions of GLMs

Two weeks ago I discussed various linear and generalised linear models in R using ice cream sales statistics. The data showed not surprisingly that more ice cream was sold at higher temperatures. icecream <- data.frame( temp=c(11.9, 14.2, 15.2, 16.4, 17.2, 18.1, 18.5, 19.4, 22.1, 22.6, 23.4, 25.1), units=c(185L, 215L, 332L, 325L, 408L, 421L, 406L, 412L, 522L, 445L, 544L, 614L) )I used a linear model, a log-transformed linear model, a Poisson and Binomial generalised linear model to predict sales within and outside the range of data available.

Generalised Linear Models in R

Linear models are the bread and butter of statistics, but there is a lot more to it than taking a ruler and drawing a line through a couple of points. Some time ago Rasmus Bååth published an insightful blog article about how such models could be described from a distribution centric point of view, instead of the classic error terms convention. I think the distribution centric view makes generalised linear models (GLM) much easier to understand as well.