Nothing
## The 3CL parameter estimation #####################
extract.prior<-function(Xtriangle,Npaid,Ntriangle,Plots=TRUE,n.cal=NA,
Fj.X=NA,Fj.N=NA,Fj.Npaid=NA)
{
Xtriangle<-as.matrix(Xtriangle)
Ntriangle<-as.matrix(Ntriangle)
Npaid<-as.matrix(Npaid)
m<-nrow(Xtriangle)
# m is the dimension of the triangle and d=m-1 is the maximum delay
## 1. Estimate the cl parameters
clm.N<-clm(Ntriangle,n.cal=n.cal,Fj=Fj.N)
alpha.N<-clm.N$alpha
beta.N<-clm.N$beta
Nhat<-as.matrix(clm.N$triangle.hat)
clm.X<-clm(Xtriangle,n.cal=n.cal,Fj=Fj.X)
alpha.X<-clm.X$alpha
beta.X<-clm.X$beta
Xhat<-as.matrix(clm.X$triangle.hat)
clm.R<-clm(Npaid,n.cal=n.cal,Fj=Fj.Npaid)
beta.R<-clm.R$beta
alpha.R<-clm.R$alpha
#### 3. The inflation parameters.
## Inflation in the development (j) i.e. mu_{j-l,l}= mu_j =beta.X/beta.R
inflat.j <- beta.X/beta.R
inflat.j[beta.X==beta.R]<-NA
## The probability of zero-claims = alpha.R/alpha.N
Qi<-1-(alpha.R/alpha.N)
if (Plots==TRUE)
{
par(mfrow=c(2,1))
par(mar=c(3,1.5,1.5,1.5),oma=c(2,0.5,0.5,0.2),mgp=c(1.5,0.5,0))
# c(bottom, left, top, right)
plot(1:m,inflat.j,type='b',lwd=2,lty=1,col=4,pch=19,cex=0.8,
xlab='development period',ylab='',cex.main=1,
main='Severity inflation',
xaxt='n')
axis(1:m,as.character(0:(m-1)))
grid(ny=5,nx=NA)
plot(1:m,Qi,type='b',lwd=2,col=4,pch=19,ylab='',cex=0.8,
xlab='underwriting period',xaxt='n',cex.main=1,
main='Probability of zero-claims')
axis(1:m,as.character(1:m))
grid(ny=5,nx=NA)
par(mfrow=c(1,1))
}
return(list(inflat.j=inflat.j,Qi=Qi))
}
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