standardDeviationOfCalendarYearEffect: A generic function to plot and/or return the posterior of the...
In BALD: Robust Loss Development Using MCMC

Description Arguments Value See Also Examples

A generic function to plot and/or return the posterior of the standard deviation of the calendar year effect for models in BALD. See vignette('BALD').

`object`	The object from which to plot and/or return the standard deviation of the calendar year effect.
`plotDensity`	A logical value. If `TRUE`, the density is plotted. If `plotTrace` is also `TRUE`, then two plots are generated. If they are both `FALSE`, only the statistics are returned.
`plotTrace`	A logical value. If `TRUE`, the trace is plotted. If `plotDensity` is also `TRUE`, then two plots are generated. If they are both `FALSE`, only the statistics are returned.

Mainly called for the side effect of plotting.

standardDeviationOfCalendarYearEffect("AnnualAggLossDevModelOutput") calendarYearEffect calendarYearEffectErrors autoregressiveParameter

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)
standardDeviationOfCalendarYearEffect(standard.model.output)

## End(Not run)