Plot.cashflow: Plotting the full cashflow (bootstrap distribution)

In DCL: Claims Reserving under the Double Chain Ladder Model

Plotting the full cashflow (bootstrap distribution)

Description

Provide histograms and boxplots of the RBNS, IBNR and total(=RBNS+IBNR) cashflows. The boxplots corresponds to the distribution of the outstanding liabities in the future calendar periods. The histograms show the distribution of the reserve (overall total).

Usage

Plot.cashflow( cashflow )

Arguments

cashflow

A list object returned by the function dcl.boot or dcl.boot.prior.

Details

The cashflow should be derived by specifying the parameter summ.by="diag" in the function dcl.boot or dcl.boot.prior.

Value

No returned value.

Author(s)

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

References

Martinez-Miranda, M.D., Nielsen, J.P. and Verrall, R. (2012) Double Chain Ladder. Astin Bulletin, 42/1, 59-76.

Martinez-Miranda, M.D., Nielsen, J.P. and Verrall, R. (2013) Double Chain Ladder and Bornhuetter-Ferguson. North Americal Actuarial Journal, 17(2), 101-113.

Martinez-Miranda, M.D., Nielsen, J.P., Verrall, R. and Wuthrich, M.V. (2013) Double Chain Ladder, Claims Development Inflation and Zero Claims. Scandinavian Actuarial Journal. In press.

See Also

dcl.boot, dcl.boot.prior, dcl.estimation

Examples

# Results described in the data application by Martinez-Miranda, Nielsen and Verrall (2012)
data(NtriangleDCL)
data(XtriangleDCL)

# Estimation of the DCL parameters
est<-dcl.estimation(XtriangleDCL,NtriangleDCL)
# Full cashflow considering the tail (only variance process)
# Below only B=200 simulations for a fast example
boot1<-dcl.boot(dcl.par=est,Ntriangle=NtriangleDCL,boot.type=1,B=200)
Plot.cashflow(boot1)

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