Nothing
idcl.estimation<-function(Xtriangle,Ntriangle,Itriangle,adj=1,Tables=TRUE,
num.dec=4,n.cal=NA,Fj.X=NA,Fj.N=NA,Fj.I=NA)
{
Ntriangle<-as.matrix(Ntriangle)
Xtriangle<-as.matrix(Xtriangle)
Itriangle<-as.matrix(Itriangle)
m<-nrow(Ntriangle)
## DCL parameters from triangles X (paid) and N -original DCL
par.dcl<-dcl.estimation(Xtriangle,Ntriangle,adj,Tables=FALSE,n.cal=n.cal,
Fj.X=Fj.X,Fj.N=Fj.N)
pj<-par.dcl$pj
pi.delay<-par.dcl$pi.delay
d<-length(pj)-1
mu<-par.dcl$mu
mu.adj<-par.dcl$mu.adj
inflat.DCL<-par.dcl$inflat
alpha.N<-par.dcl$alpha.N
beta.N<-par.dcl$beta.N
Nhat<-as.matrix(par.dcl$Nhat)
alpha.X<-par.dcl$alpha.X
beta.X<-par.dcl$beta.X
Xhat<-par.dcl$Xhat
low.Xhat<-as.matrix(Xhat)
low.Xhat[row(Xhat)+col(Xhat)<=(m+1)]<-0
CL.X.i<-rowSums(low.Xhat,na.rm=T)
## Get the inflation from incurred data to reproduce exaclty incurred reserve
clm.I<-clm(Itriangle,n.cal=n.cal,Fj=Fj.I)
alpha.I<-clm.I$alpha
beta.I<-clm.I$beta
# The total paid for each accident year in the past
Ri.X<-rowSums(Xtriangle,na.rm=T)
# Incurred outstanding numbers
CL.I.i<-alpha.I-Ri.X
inflat.factor<-CL.I.i/CL.X.i
inflat.factor[CL.X.i==0]<-1
inflat<-inflat.factor*inflat.DCL
inflat[abs(inflat)==Inf]<-NA
## Do not estimate again the variance, use the DCL
inf.corr<-inflat
inf.corr[inf.corr==0]<-1
sigma2<-par.dcl$sigma2
phi<-par.dcl$phi
Vy<-inf.corr^2 *sigma2
## the estimated means (different at each accident year)
Ey<-mu.adj*inflat #inf.corr
if (Tables==TRUE)
{
## print some tables
table1<-data.frame(delay.par=pi.delay,
delay.prob=pj,inflat.DCL=inflat.DCL,inflat.IDCL=inflat,
severity.mean=Ey,severity.var=Vy )
table2<-data.frame(mean.factor=mu,mean.factor.adj=mu.adj,
variance.factor=sigma2)
## Print the results
print(table1)
print(table2)
}
# It returns a list with:
return(list(pi.delay=pi.delay,mu=mu,inflat=inflat,inflat.DCL=inflat.DCL,pj=pj,mu.adj=mu.adj,
sigma2=sigma2,phi=phi,Ey=Ey,Vy=Vy, adj=adj,
alpha.N=alpha.N,beta.N=beta.N,Nhat=Nhat,
alpha.X=alpha.X,beta.X=beta.X,Xhat=Xhat,
alpha.I=alpha.I,beta.I=beta.I,CL.I.i=CL.I.i))
}
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