rateOfDecay: A generic function to plot and/or return the esimtated rate...

In BALD: Robust Loss Development Using MCMC

Description

A generic function to plot and/or return the esimtated rate of decay vs development year time.

Arguments

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

Details

The simplest definition of the rate of decay is the exponentiated first difference of the consumption path. This is a generic function to allow for the retrieval and illustration of the rate of decay. See vignette('BALD').

Value

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

See Also

rateOfDecay("StandardAnnualAggLossDevModelOutput") rateOfDecay("BreakAnnualAggLossDevModelOutput") consumptionPath rateOfDecayTracePlot

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)
rateOfDecay(standard.model.output)

## End(Not run)

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