consumptionPath-comma-StandardAnnualAggLossDevModelOutput-dash-method: A method to plot and/or return the estimated consumption path...

In BALD: Robust Loss Development Using MCMC

Description

A method to plot and/or return the estimated consumption path vs development year time for standard models.

Arguments

object	The object from which to plot and/or return the estimated consumption path.
plot	A logical value. If TRUE, the plot is generated and the statistics are returned; otherwise only the statistics are returned.

Details

At the heart of aggregate loss development models in BALD is the consumption path. The consumption path is (on a log scale) the trajectory of incremental payments absent any calendar year effects and wisht exposure normalized to the first row. Note that the measurement error term is (possibly) a skewed t and as such (possibly) has a non zero mean. The consumption path is absent any such shifts due to skewness. This is a method that allows for the retrieval and illustration of this consumption path.

The standard model has a common consumption path for all exposure years.

Because the model is Bayesian, the estimated consumption path comes as a distribution; only the median is plotted and/or returned.

Value

Mainly called for the side effect of plotting. Also returns the plotted statistics. Returned invisibly.

See Also

consumptionPath consumptionPath("BreakAnnualAggLossDevModelOutput")

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