scaleParameter: A generic function to plot and/or return the posterior of the...

In BALD: Robust Loss Development Using MCMC

Description

A generic function to plot and/or return the posterior of the scale parameter for the Student-t measurement equation for models in BALD.

Arguments

object	The object from which to plot and/or return the scale parameter.
column	The scale parameter is allowed to vary with development time. Setting column results in the plotting and returning of the scale parameter corresponding to that column. Default value is 1.
plotDensity	A logical value. If TRUE, then the density is plotted. If plotTrace is also TRUE, then two plots are generated. If they are both FALSE, then only the statistics are returned.
plotTrace	A logical value. If TRUE, then the trace is plotted. If plotDensity is also TRUE, then two plots are generated. If they are both FALSE, then only the statistics are returned.

Details

As the degrees of freedom of the t goes to infinity, the scale parameter is the standard deviation of the resulting normal distribution (assuming zero skew). See vignette('BALD').

Value

Mainly called for the side effect of plotting.

See Also

scaleParameter("AnnualAggLossDevModelOutput")

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)
scaleParameter(standard.model.output)

## End(Not run)

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