Description Arguments Value See Also Examples
A generic function to plot and/or return the posterior of the autoregressive parameter for models in BALD.
See vignette('BALD')
.
object |
The object from which to plot and/or return the autoregressive parameter. |
plotDensity |
A logical value. If |
plotTrace |
A logical value. If |
Mainly called for the side effect of plotting.
autoregressiveParameter("AnnualAggLossDevModelOutput")
standardDeviationOfCalendarYearEffect
calendarYearEffect
calendarYearEffectErrors
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 | rm(list=ls())
library(BALD)
data(CumulativeAutoBodilyInjuryTriangle)
CumulativeAutoBodilyInjuryTriangle <- as.matrix(CumulativeAutoBodilyInjuryTriangle)
sample.col <- (dim(CumulativeAutoBodilyInjuryTriangle)[2] - 6:0)
data(HPCE)
HPCE <- as.matrix(HPCE)[,1]
HPCE.rate <- HPCE[-1] / HPCE[-length(HPCE)] - 1
print(HPCE.rate[(-10):0 + length(HPCE.rate)])
HPCE.years <- as.integer(names(HPCE.rate))
max.exp.year <- max(as.integer(
dimnames(CumulativeAutoBodilyInjuryTriangle)[[1]]))
years.to.keep <- HPCE.years <= max.exp.year + 3
HPCE.rate <- HPCE.rate[years.to.keep]
break.model.input.w.ar1 <- makeBreakAnnualInput(
cumulative.payments = CumulativeAutoBodilyInjuryTriangle,
stoch.inflation.weight = 1,
non.stoch.inflation.weight = 0,
stoch.inflation.rate = HPCE.rate,
first.year.in.new.regime = c(1986, 1987),
prior.for.first.year.in.new.regime=c(2,1),
exp.year.type = 'ay',
extra.dev.years = 5,
use.skew.t = TRUE,
bound.for.skewness.parameter=5,
use.ar1.in.calendar.year = TRUE)
## Not run:
break.model.output.w.ar1 <- runLossDevModel(
break.model.input.w.ar1,
burnIn=30.0E+3,
sampleSize=30.0E+3,
thin=10)
calendarYearEffectAutoregressiveParameter(break.model.output.w.ar1)
## End(Not run)
|
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