Aggregate: Switch to a higher level of aggregation

In DCL: Claims Reserving under the Double Chain Ladder Model

Switch to a higher level of aggregation

Description

From the input run-off triangle (weekly, monthly, quarterly, etc.) the function creates another triangle on a higher level of aggregation.

Usage

Aggregate(triangle, freq = 4)

Arguments

triangle	The original run-off (incremental) triangle. It should be a squared matrix (let denote by m its dimension m).
freq	The frequency to be considered in the aggregation. The default value is 4, to be used to construct a yearly run-off triangle from a quarterly triangle

.

Details

If the input triangle does not consist of complete periods (for example a quarterly triangle with only three quarters in the last year), then the last (lower level) periods will been removed to get full aggregated periods.

Value

A run-off triangle in the specified higher level of aggregation.

Author(s)

M.D. Martinez-Miranda, J.P. Nielsen and R. Verrall

See Also

get.incremental,get.cumulative,Plot.triangle

Examples

## A dummy example: a run-off triangle with 5*4=20 quarters
m<-20
my.square<-matrix(1,m,m)
# Now my.triangle is a quarterly triangle (the upper left triangle from my.square)
my.triangle<-my.square
my.triangle[row(my.square)+col(my.square)>(m+1)]<-NA
my.yearly.triangle<-Aggregate(my.triangle)
list(original=my.triangle,yearly=my.yearly.triangle)

DCL documentation built on May 5, 2022, 5:06 p.m.