View source: R/features_11_incurred_history.R
claim_history | R Documentation |
Consolidates payments and incurred revisions and returns a full transactional history of all the individual claims (transaction being either a payment or a case estimate revision).
claim_history(
claims,
majRev_list,
minRev_list,
k1 = 0.95,
k2 = 0.95,
base_inflation_vector = NULL,
keep_all = FALSE
)
claims |
an |
majRev_list |
nested list of major revision histories, see
|
minRev_list |
nested list of minor revision histories, see
|
k1 |
maximum amount of cumulative claims paid as a proportion of total incurred estimate for major revisions; between 0 and 1. |
k2 |
maximum amount of cumulative claims paid as a proportion of total incurred estimate for minor revisions; between 0 and 1. |
base_inflation_vector |
vector showing quarterly base inflation
rates (quarterly effective) for all the periods under consideration (default
is nil base inflation), should be consistent with the input inflation vector
in |
keep_all |
|
This function works to generate the full history of claims paid and incurred estimates by consolidating all the simulated revision quantities. It should be noted that in this consolidation step, we make the following adjustments:
Major and minor revisions should not occur simultaneously. In the event
that they do (which is only possible at the second last partial payment),
the major revision takes precedence, and the minor revision be discarded.
This will be reflected in the majRev
and minRev
components of the output
list.
Estimates of incurred loss are specified to be computed in reverse order,
and it is necessary that the total incurred estimate is always strictly
greater than the cumulative claims paid (except at the final paymen where
equality holds). Hence we introduce k1
and k2
to make sure that
the revised incurred estimates satisfy
ky(t) \ge c(t)
where y(t)
represents the total incurred estimate at delay t
, k
is a
constant between 0 and 1, and c(t)
is the cumulative claims paid up to
time t
. When the raw simulated revision multipliers violate this
requirement, the case estimates of the total incurred or the outstanding
claim payments will be increased to make sure this condition always holds,
i.e. this adjustment takes precedence over the raw simulated revision
multipliers.
Inflation adjustment: One can choose to ignore inflation in the incurred estimates (default), or to make allowance for it.
If base_inflation_vector == NULL
(default), then all case estimates
will be computed in values corresponding to time t = 0
, i.e. the
commencement of the first occurrence period.
If base_inflation_vector
is provided, then the case estimators will
include full superimposed inflation and base inflation only up to the date
of the revision, i.e. there is an adjustment for the time elapsed since the
immediately preceding revision and no future base inflation beyond the
date of valuation.
If inflation is involved, it should be noted that the case estimator reviews the base inflation situation only in the process of making a revision. When only a payment is made, the insurer's system automatically writes down the outstanding liability on the assumption of no change in ultimate incurred amount.
A nested list structure such that the jth component of the ith sub-list provides a full transactional history of the jth claim of occurrence period i. The "unit list" (i.e. the smallest, innermost sub-list) contains the following components:
txn_delay | Delays from notification to the transactions (payment or incurred revision). |
txn_time | Times of the transactions (from the commencement of the first occurrence period). |
txn_type | Types of the transactions, "Ma" for major revision, "Mi" for minor revision, "P" for payment, "PMa" for major revision coincident with a payment, "PMi" for minor revision coincident with a payment. |
cumpaid_right | Cumulative claim payments immediately after each of the transactions (in the "right" continuous sense). |
OCL_right | Case estimate of outstanding claim payments immediately after each of the transactions (in the "right" continuous sense). |
incurred_right | Case estimate of incurred loss immediately after each of the transactions (in the "right" continuous sense). |
minRev | A list containing full history of minor revisions (frequency,
time and revision size); claim_minRev . |
majRev | A list containing full history of major revisions (frequency,
time and revision size); see claim_majRev .
|
and optionally (by setting keep_all = TRUE
),
cumpaid_left | Cumulative claim payments just before each of the transactions. |
OCL_left | Case estimate of outstanding claim payments just before each of the transactions. |
incurred_left | Case estimate of incurred loss just before each of the transactions. |
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