stochasticInflationRhoParameter: 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 stochastic inflation rho parameter for models in BALD.

Arguments

object	The object from which to plot and/or return the stochastic inflation rho parameter.
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.

Details

If the model incorporates a stochastic rate of inflation, then that rate is assumed to follow (on the log scale) an autoregressive process of order 1. (The autoregressive process of order 1 is the discrete equivalent to an Ornstein-Uhlenbeck process.) This function plots the posterior for the rho parameter, assuming one was estimated. See vignette('BALD').

Value

Mainly called for the side effect of plotting.

See Also

stochasticInflationRhoParameter("AnnualAggLossDevModelOutput") stochasticInflationStationaryMean stochasticInflation

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)
stochasticInflationRhoParameter(standard.model.output)

## End(Not run)

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