simTriangle-methods: Claim simulation result triangles

In cascsim: Casualty Actuarial Society Individual Claim Simulator

Description

Claim simulation result triangles

Usage

simTriangle(object, claimdata, simdata, ...)

## S4 method for signature 'Simulation,data.frame,data.frame'
simTriangle(object, claimdata,
  simdata, frequency = "yearly", startDate = as.Date("2012-01-01"),
  evaluationDate = as.Date("2016-12-31"),
  futureDate = as.Date("2017-12-31"))

Arguments

object	Simulation object
claimdata	claim data used as basis for simulation
simdata	simulation data generated by claimSimulation
...	Additional parameters that may or may not be used.
frequency	triangle frequency, either "yearly" or "quarterly";
startDate	Date after which claims are analyzed;
evaluationDate	Date of evaluation for existing claims and IBNR;
futureDate	Date of evaluation for UPR (future claims).

Examples

#run time is about 30s(>10s) and is commented out here to avoid long waiting time
#library(cascsim)
#data(claimdata)
#lines <- c("Auto")
#types <- c("N")
#AutoN <- new("ClaimType", line = "Auto", claimType = "N")
#AutoN@exposureIndex <- setIndex(new("Index",indexID="I1",tabulate= FALSE,
#startDate=as.Date("2012-01-01"), annualizedRate = 0)) # level exposure across time
#AutoN@frequency <- new("Poisson", p1 =50)
#AutoN@severityIndex <- setIndex(new("Index",indexID="I2",tabulate= FALSE,
#startDate=as.Date("2012-01-01"), annualizedRate = 0.02)) #assuming a 2% annual inflation
#AutoN@severity <- new("Lognormal", p1 =2, p2 =3)
#AutoN@deductible <- new("Empirical", empirical=matrix(c(0,1,100,100),2,2))
#AutoN@limit <- new("Empirical", empirical=matrix(c(0,1,1e8,1e8),2,2))
#AutoN@p0<-new("DevFac",meanList=c(0,0),volList=c(0,0))
#AutoN@reportLag <- new("Exponential", p1 =0.1)
#AutoN@settlementLag <- new("Exponential", p1 =0.05)
#AutoN@iCopula <- TRUE #use copula
#AutoN@ssrCopula <- new("CopulaObj", type ="normal", dimension = 3, 
#param = c(0.1,0.2,0.1))#A Gaussian Copula
#AutoN@ssrCopula@marginal <- c(AutoN@severity,AutoN@settlementLag,AutoN@reportLag)
#AutoN@laeDevFac <- new("DevFac",FacID="F1",FacModel= TRUE,fun="linear",
#paras =c(5,1.5,0.005,1.2,3))
#AutoN@fIBNER <- new("DevFac",FacID="D1",FacModel= FALSE,
#meanList =c(1.2,1.15,1.1,1.05,1),volList =c(0,0,0,0,0))
#AutoN@reopen <- new("DevFac",FacID="D2",FacModel= FALSE,
#meanList =c(0.02,0.015,0.01,0.005,0),volList =c(0.003, 0.002, 0.001, 0.001, 0))
#AutoN@roDevFac <- new("DevFac",FacID="D3",FacModel= FALSE,
#meanList =c(1.05,1.1,1,1,1),volList =c(0.00589,0.0037,0.00632,0.00815,0))
#AutoN@reopenLag <- new("Exponential", p1 =0.01)
#AutoN@resettleLag <- new("Exponential", p1 =0.25)
#simobj <- new("Simulation", lines=lines, types=types, 
#claimobjs= list(AutoN),workingFolder=tempdir())
#simobj@simNo <- 1
#simobj@iRBNER <-FALSE
#simobj@iROPEN <-FALSE
#simobj@iIBNR <-TRUE
#simobj@iUPR <-FALSE
#simdata <- claimSimulation(simobj,claimdata, startDate = as.Date("2012-01-01"), 
#evaluationDate = as.Date("2016-12-31"), futureDate = as.Date("2017-12-31"))
#simSummary <- simSummary(simobj,simdata, startDate = as.Date("2012-01-01"))
#simTriangle <- simTriangle(simobj,claimdata,simdata, startDate = as.Date("2012-01-01"))

cascsim documentation built on Jan. 13, 2020, 5:07 p.m.