calendarYearEffect: A generic function to plot and/or return the predicted and...

In BALD: Robust Loss Development Using MCMC

Description

A generic function to plot and/or return the predicted and forecast calendar year effects for models in BALD.

Arguments

object	The object from which to plot and/or return the calendar year effect.
restrictedSize	A logical value. If TRUE, the plotted calendar year effect is restricted to the square of dimension equal to the observed triangle with which the model was estimated.
plot	A logical value. If TRUE, the plot is generated and the statistics are returned; otherwise only the statistics are returned.

Details

The calendar year effect is comprised of two components: 1) a prior expected value that may be unique to every cell (subject to weights and bounds) and 2) a diagonal-specific error term. This function plots and returns the factor resulting from the combined effect of these two, which includes an autoregressive component if the model is estimated with such a feature.

The first cell is NA. Values in the first column represent the rate of inflation/escalation to the corresponding cell from the cell in the same column but previous row. Values in the 2nd column and beyond represent the rate of inflation/escalation to the corresponding cell from the cell in the same row but previous column. See vignette('BALD').

Value

Mainly called for the side effect of plotting.

See Also

calendarYearEffect("AnnualAggLossDevModelOutput") calendarYearEffectErrors autoregressiveParameter standardDeviationOfCalendarYearEffect calendarYearEffectErrorTracePlot

Examples

rm(list=ls())
options(device.ask.default=FALSE)
library(BALD)
data(IncrementalGeneralLiablityTriangle)
IncrementalGeneralLiablityTriangle <- as.matrix(IncrementalGeneralLiablityTriangle)
print(IncrementalGeneralLiablityTriangle)
data(PCE)
PCE <- as.matrix(PCE)[,1]
PCE.rate <- PCE[-1] / PCE[-length(PCE)] - 1
PCE.rate.length <- length(PCE.rate)
PCE.years <- as.integer(names(PCE.rate))
years.available <- PCE.years <= max(as.integer(
dimnames(IncrementalGeneralLiablityTriangle)[[1]]))
PCE.rate <- PCE.rate[years.available]
PCE.rate.length <- length(PCE.rate)
standard.model.input <- makeStandardAnnualInput(
incremental.payments = IncrementalGeneralLiablityTriangle,
stoch.inflation.weight = 1,
non.stoch.inflation.weight = 0,
stoch.inflation.rate = PCE.rate,
exp.year.type = 'ay',
extra.dev.years=5,
use.skew.t=TRUE)
## Not run: 
standard.model.output <- runLossDevModel(
standard.model.input,
burnIn=30.0E+3,
sampleSize=30.0E+3,
thin=10)
calendarYearEffect(standard.model.output)

## End(Not run)

BALD documentation built on May 2, 2019, 6:51 a.m.