After expressing interest in contributing to the open source committee on the CAS volunteer survey I was contacted by Ben Escoto and said I would be willing to write a blog post about a project I did in R.
I work in reinsurance as a pricing actuary and we are always comparing experience and exposure for different excess layers. For casualty business, ALAE usually contributes a significant amount of excess layer losses. Most actuaries are probably familiar with the default assumption of ALAE = a fixed percentage of indemnity for all sizes of loss. After noticing how bad the exposure estimate was in layers heavily driven by ALAE (for example, a layer directly above a common primary policy limit)
I decided to do some research and found many publications on copula models for ALAE. My blogpost has a bibliography and all these sources are referenced there. The purpose of the blogpost is just to detail the R implementation I programmed and provide the code and auxiliary files. The model is certainly better and I hope the code provided can make it more practically accessible. I attached files to the blog, the code in a txt and all the upload and download csv files and some images.
If you're interested it needs a few additional reviewers. Thanks!