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Custom Excel User Defined Functions (UDFs)

1) InterpolateAYLDF()

interp_age: desired interpolation age
age_range: range of ages of existing LDFs
LDF_range: range of existing LDFs (these values should not reflect exposure adjustment)
descending: optional; default=true; existing LDFs in descending order with respect to age (true or false)
exponential: optional; default=true; true=exponential interpolation, false=linear interpolation

This UDF produces interpolated values of existing age-to-ultimate factors (ATUs) for an accident year. The function performs a pro-rata exposure adjustment for ATUs less than age 12 months. The interpolation is performed on the reciprocal of the respective ATUs and is converted back to an ATU basis. This function will not extrapolate to ages beyond those in age_range.

The download below contains the VBA for the UDF in the form of a text file (.txt). In order to use the UDF, download the file, copy and paste the contents into your VBA module.

This code is not intended as actuarial advice. Users assume all responsibility for accuracy.

Supplement to Loss Development and Bornhuetter-Ferguson Methods Video