standardDeviationOfExposureGrowth: 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 standard deviation of the exposure growth rate for models in BALD. See vignette('BALD').

Arguments

object	The object from which to plot and/or return the standard deviation of the exposure growth rate.
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.

Value

Mainly called for the side effect of plotting.

See Also

standardDeviationOfExposureGrowth("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)
standardDeviationOfExposureGrowth(standard.model.output)

## End(Not run)

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