Nothing
R/CTriangle.R
In cascsim: Casualty Actuarial Society Individual Claim Simulator
#' An S4 class to represent a triangle or rectangle object.
#'
#' @slot triID A character string to identify the triangle object.
#' @slot type A character string that indicates the triangle type, such as reportedCount, closedCount, paidLoss, and incurredLoss.
#' @slot startDate The start date for the accident year or Quarter.
#' @slot frequency A character that indicates the frequency of the triangle, "yearly" or "quarterly".
#' @slot sim A number that indicates the simulation number used to complete the rectangle. Zero means using the average value.
#' @slot percentile A number that indicates the percentile used to complete the rectangle. It is only used when sim is NA.
#' @slot iRBNER A Boolean that indicates whether open claims are simulated. If not, current information will be used for constructing rectangles. Otherwise, simulated data will be used.
#' @slot iROPEN A Boolean that indicates whether claim reopen are simulated. If not, current information will be used for constructing rectangles. Otherwise, simulated data will be used.
#' @slot percentile A number that indicates the percentile used to complete the rectangle. It is only used when sim is NA.
#' @slot upper A matrix that contains the upper triangle based on claim data.
#' @slot upperkeep A matrix that contains the upper triangle that are not simulated. It will be used to construct the rectangle for the non-simulated part.
#' @slot rectangle A matrix that contains the entire rectangle based on simulation data.
setClass("Triangle",
slots=c(
triID="character",
type="character",
startDate="Date",
frequency="character",
sim="numeric",
percentile="numeric",
iRBNER="logical",
iROPEN="logical",
upper="matrix",
upperkeep="matrix",
rectangle="matrix"
),
prototype=list(
triID="XXXXXX",
type="reportedCount",
startDate=as.Date("2012-01-01"),
frequency="yearly",
sim=1,
percentile=50,
iRBNER=TRUE,
iROPEN=TRUE,
upper=matrix(),
upperkeep=matrix(),
rectangle=matrix()
)
)
#' @title Set up the upper triangle based on claim data.
#' @description
#' \code{setUpperTriangle} sets up the upper triangle based on a data file.
#' @name setUpperTriangle
#' @param object Triangle Object
#' @param data Claim Data
#' @param ... Additional function arguments.
#' @examples
#' library(cascsim)
#' data(claimdata)
#' xTri <- new("Triangle", triID = "TRI1", type = "reportedCount", startDate=as.Date("2012-01-01"),
#' frequency="yearly", sim=1, percentile=50)
#' xTri<-setUpperTriangle(xTri,claimdata)
#' xTri@upper
#'
#' xTri <- new("Triangle", triID = "TRI1", type = "closedCount", startDate=as.Date("2012-01-01"),
#' frequency="quarterly", sim=1, percentile=50)
#' xTri<-setUpperTriangle(xTri,claimdata)
#' xTri@upper
#'
#' xTri <- new("Triangle", triID = "TRI1", type = "incurredLoss", startDate=as.Date("2012-01-01"),
#' frequency="yearly", sim=1, percentile=50)
#' xTri<-setUpperTriangle(xTri,claimdata,lob="Auto",ctype="H")
#' xTri@upper
#'
#' xTri <- new("Triangle", triID = "TRI1", type = "paidLoss", startDate=as.Date("2012-01-01"),
#' frequency="yearly", sim=1, percentile=50)
#' xTri<-setUpperTriangle(xTri,claimdata,lob="Auto",ctype="H")
#' xTri@upper
#'
#' @rdname setUpperTriangle-methods
#' @exportMethod setUpperTriangle
setGeneric("setUpperTriangle", function(object,data,...) standardGeneric("setUpperTriangle"))
#' @param evaluationDate Evaluation Date;
#' @param lob Line of Business;
#' @param ctype Claim Type.
#' @rdname setUpperTriangle-methods
#' @aliases setUpperTriangle,ANY-method
setMethod("setUpperTriangle",signature("Triangle","data.frame"), function(object,data,evaluationDate=as.Date("2016-12-31"),lob="Total",ctype="Total") {
tryCatch({
if (lob != "Total") {data <- data[data[,"LoB"]==lob,]}
if (ctype != "Total") {data <- data[data[,"Type"]==ctype,]}
startYear <- as.numeric(substr(as.character(object@startDate),1,4))
endYear <- as.numeric(substr(as.character(evaluationDate),1,4))
startMonth <- as.numeric(substr(as.character(object@startDate),6,7))
endMonth <- as.numeric(substr(as.character(evaluationDate),6,7))
startQuarter <- ceiling(startMonth/3)
endQuarter <- ceiling(endMonth/3)
if (object@frequency=="yearly") {
ncols <- endYear - startYear + 1
rowname <- c(startYear:endYear)
colname <- paste0("M",seq(12,(12*ncols),12))
} else {
ncols <- (endYear - startYear)*4 + endQuarter - startQuarter + 1
rowname <- vector()
for (i in c(startYear:endYear)){
if (i==startYear){
for (j in c(startQuarter:4)){
rowname <- c(rowname,paste0(j,"Q",i))
}
} else if (i == endYear){
for (j in c(1:endQuarter)){
rowname <- c(rowname,paste0(j,"Q",i))
}
} else {
for (j in c(1:4)){
rowname <- c(rowname,paste0(j,"Q",i))
}
}
}
colname <- paste0("M",seq(3,(3*ncols),3))
}
rec <- matrix(0,ncols,ncols,dimnames = list(rowname,colname))
if ("Sim" %in% colnames(data)) {
sim <- data$Sim[1]
data <- data[data[,"Sim"]==sim,]
}
data <- data[,colnames(data) %in% c("occurrenceDate","reportDate","settlementDate","incurredLoss","Paid")]
accidentYears <- as.numeric(substr(as.character(data$occurrenceDate),1,4))
accidentMonths <- as.numeric(substr(as.character(data$occurrenceDate),6,7))
accidentQuarters <- ceiling(accidentMonths/3)
if (object@frequency=="yearly") {
data$rowno <- (accidentYears - startYear) + 1
} else {
data$rowno <- (accidentYears - startYear) * 4 + (accidentQuarters - startQuarter) + 1
}
if (object@type == "reportedCount"){
reportYears <- as.numeric(substr(as.character(data$reportDate),1,4))
reportMonths <- as.numeric(substr(as.character(data$reportDate),6,7))
reportQuarters <- ceiling(reportMonths/3)
if (object@frequency=="yearly") {
data$colno <- (reportYears - accidentYears) + 1
} else {
data$colno <- (reportYears - accidentYears) * 4 + (reportQuarters - accidentQuarters) + 1
}
} else if (object@type == "closedCount"){
settleYears <- as.numeric(substr(as.character(data$settlementDate),1,4))
settleYears <- ifelse(is.na(settleYears), endYear+1, settleYears)
settleMonths <- as.numeric(substr(as.character(data$settlementDate),6,7))
settleMonths <- ifelse(is.na(settleMonths), endMonth, settleMonths)
settleQuarters <- ceiling(settleMonths/3)
if (object@frequency=="yearly") {
data$colno <- (settleYears - accidentYears) + 1
} else {
data$colno <- (settleYears - accidentYears) * 4 + (settleQuarters - accidentQuarters) + 1
}
}else {
settleYears <- as.numeric(substr(as.character(data$settlementDate),1,4))
settleYears <- ifelse(is.na(settleYears), endYear, settleYears)
settleMonths <- as.numeric(substr(as.character(data$settlementDate),6,7))
settleMonths <- ifelse(is.na(settleMonths), endMonth, settleMonths)
settleQuarters <- ceiling(settleMonths/3)
if (object@frequency=="yearly") {
data$colno <- (settleYears - accidentYears) + 1
} else {
data$colno <- (settleYears - accidentYears) * 4 + (settleQuarters - accidentQuarters) + 1
}
}
if (object@type == "reportedCount" | object@type == "closedCount") {
agg<-aggregate(occurrenceDate ~ rowno + colno, data = data, length)
} else if (object@type == "incurredLoss") {
agg<-aggregate(incurredLoss ~ rowno + colno, data = data, sum)
} else {
agg<-aggregate(Paid ~ rowno + colno, data = data, sum)
}
for (i in c(1:length(rowname))){
rowsum <- 0
for (j in c(1:(ncols-i+1))){
tmp <- agg[agg$rowno == i & agg$colno == j,][1,3]
if (!is.na(tmp)) {
rowsum <- rowsum + tmp
}
rec[i,j] <- rowsum
}
}
object@upper <- rec
gc()
object
}, error = function(err){
message(paste0(">>>Critical Error: ", err))
gc()
return(-1)
})
})
#' @title Set up the upper triangle for non-simulated data.
#' @description
#' \code{setUpperKeep} sets up the upper triangle for non-simulated data.
#' @name setUpperKeep
#' @param object Triangle Object
#' @param data Claim Data
#' @param ... Additional function arguments.
#' @examples
#' library(cascsim)
#' data(claimdata)
#' xTri <- new("Triangle", triID = "TRI1", type = "reportedCount", startDate=as.Date("2012-01-01"),
#' frequency="yearly", sim=1, percentile=50, iRBNER=TRUE, iROPEN=TRUE)
#' xTri<-setUpperTriangle(xTri,claimdata)
#' xTri<-setUpperKeep(xTri,claimdata)
#' xTri@upperkeep
#'
#' xTri <- new("Triangle", triID = "TRI1", type = "closedCount", startDate=as.Date("2012-01-01"),
#' frequency="quarterly", sim=1, percentile=50, iRBNER=FALSE, iROPEN=TRUE)
#' xTri<-setUpperTriangle(xTri,claimdata)
#' xTri<-setUpperKeep(xTri,claimdata)
#' xTri@upperkeep
#'
#' xTri <- new("Triangle", triID = "TRI1", type = "incurredLoss", startDate=as.Date("2012-01-01"),
#' frequency="yearly", sim=1, percentile=50, iRBNER=TRUE, iROPEN=FALSE)
#' xTri<-setUpperTriangle(xTri,claimdata)
#' xTri<-setUpperKeep(xTri,claimdata,lob="Auto",ctype="H")
#' xTri@upperkeep
#'
#' @rdname setUpperKeep-methods
#' @exportMethod setUpperKeep
setGeneric("setUpperKeep", function(object,data,...) standardGeneric("setUpperKeep"))
#' @param evaluationDate Evaluation Date;
#' @param lob Line of Business;
#' @param ctype Claim Type.
#' @rdname setUpperKeep-methods
#' @aliases setUpperKeep,ANY-method
setMethod("setUpperKeep",signature("Triangle","data.frame"), function(object,data,evaluationDate=as.Date("2016-12-31"),lob="Total",ctype="Total") {
tryCatch({
if (lob != "Total") {data <- data[data[,"LoB"]==lob,]}
if (ctype != "Total") {data <- data[data[,"Type"]==ctype,]}
# if(object@iRBNER == TRUE & object@iROPEN == FALSE){
# data <- data[data[,"status"]=="CLOSED",]
# } else if(object@iRBNER == FALSE & object@iROPEN == TRUE){
# data <- data[data[,"status"]=="OPEN",]
# }
startYear <- as.numeric(substr(as.character(object@startDate),1,4))
endYear <- as.numeric(substr(as.character(evaluationDate),1,4))
startMonth <- as.numeric(substr(as.character(object@startDate),6,7))
endMonth <- as.numeric(substr(as.character(evaluationDate),6,7))
startQuarter <- ceiling(startMonth/3)
endQuarter <- ceiling(endMonth/3)
if (object@frequency=="yearly") {
ncols <- endYear - startYear + 1
rowname <- c(startYear:endYear)
colname <- paste0("M",seq(12,(12*ncols),12))
} else {
ncols <- (endYear - startYear)*4 + endQuarter - startQuarter + 1
rowname <- vector()
for (i in c(startYear:endYear)){
if (i==startYear){
for (j in c(startQuarter:4)){
rowname <- c(rowname,paste0(j,"Q",i))
}
} else if (i == endYear){
for (j in c(1:endQuarter)){
rowname <- c(rowname,paste0(j,"Q",i))
}
} else {
for (j in c(1:4)){
rowname <- c(rowname,paste0(j,"Q",i))
}
}
}
colname <- paste0("M",seq(3,(3*ncols),3))
}
rec <- matrix(0,ncols,ncols,dimnames = list(rowname,colname))
if ("Sim" %in% colnames(data)) {
sim <- data$Sim[1]
data <- data[data[,"Sim"]==sim,]
}
# if (object@iRBNER == FALSE & object@iROPEN == FALSE) {
# rec <- object@upper
#} else if (object@iRBNER == TRUE & object@iROPEN == TRUE) {
#
# } else {
data <- data[,colnames(data) %in% c("occurrenceDate","reportDate","settlementDate","incurredLoss","Paid")]
accidentYears <- as.numeric(substr(as.character(data$occurrenceDate),1,4))
accidentMonths <- as.numeric(substr(as.character(data$occurrenceDate),6,7))
accidentQuarters <- ceiling(accidentMonths/3)
if (object@frequency=="yearly") {
data$rowno <- (accidentYears - startYear) + 1
} else {
data$rowno <- (accidentYears - startYear) * 4 + (accidentQuarters - startQuarter) + 1
}
if (object@type == "reportedCount"){
reportYears <- as.numeric(substr(as.character(data$reportDate),1,4))
reportMonths <- as.numeric(substr(as.character(data$reportDate),6,7))
reportQuarters <- ceiling(reportMonths/3)
if (object@frequency=="yearly") {
data$colno <- (reportYears - accidentYears) + 1
} else {
data$colno <- (reportYears - accidentYears) * 4 + (reportQuarters - accidentQuarters) + 1
}
} else if (object@type == "closedCount"){
settleYears <- as.numeric(substr(as.character(data$settlementDate),1,4))
settleYears <- ifelse(is.na(settleYears), endYear+1, settleYears)
settleMonths <- as.numeric(substr(as.character(data$settlementDate),6,7))
settleMonths <- ifelse(is.na(settleMonths), endMonth, settleMonths)
settleQuarters <- ceiling(settleMonths/3)
if (object@frequency=="yearly") {
data$colno <- (settleYears - accidentYears) + 1
} else {
data$colno <- (settleYears - accidentYears) * 4 + (settleQuarters - accidentQuarters) + 1
}
} else {
settleYears <- as.numeric(substr(as.character(data$settlementDate),1,4))
settleYears <- ifelse(is.na(settleYears), endYear, settleYears)
settleMonths <- as.numeric(substr(as.character(data$settlementDate),6,7))
settleMonths <- ifelse(is.na(settleMonths), endMonth, settleMonths)
settleQuarters <- ceiling(settleMonths/3)
if (object@frequency=="yearly") {
data$colno <- (settleYears - accidentYears) + 1
} else {
data$colno <- (settleYears - accidentYears) * 4 + (settleQuarters - accidentQuarters) + 1
}
}
if (object@type == "reportedCount" | object@type == "closedCount") {
agg<-aggregate(occurrenceDate ~ rowno + colno, data = data, length)
} else if(object@type == "incurredLoss"){
agg<-aggregate(incurredLoss ~ rowno + colno, data = data, sum)
} else {
agg<-aggregate(Paid ~ rowno + colno, data = data, sum)
}
for (i in c(1:length(rowname))){
rowsum <- 0
for (j in c(1:(ncols-i+1))){
tmp <- agg[agg$rowno == i & agg$colno == j,][1,3]
if (!is.na(tmp)) {
rowsum <- rowsum + tmp
}
rec[i,j] <- rowsum
}
}
# }
object@upperkeep <- rec
gc()
object
}, error = function(err){
message(paste0(">>>Critical Error: ", err))
gc()
return(-1)
})
})
#' @title Set up the rectangle based on simulated data.
#' @description
#' \code{setRectangle} sets up the rectangle based on a data file.
#' @name setRectangle
#' @param object Triangle Object
#' @param data Simulated Data
#' @param ... Additional function arguments.
#' @rdname setRectangle-methods
setGeneric("setRectangle", function(object,data,...) standardGeneric("setRectangle"))
#' @param evaluationDate Evaluation Date;
#' @param futureDate End of projection date;
#' @param lob Line of Business;
#' @param ctype Claim Type.
#' @rdname setRectangle-methods
#' @aliases setRectangle,ANY-method
setMethod("setRectangle",signature("Triangle","data.frame"), function(object,data,evaluationDate=as.Date("2016-12-31"),futureDate=as.Date("2017-12-31"),lob="Total",ctype="Total") {
tryCatch({
if (lob != "Total") {data <- data[data[,"LoB"]==lob,]}
if (ctype != "Total") {data <- data[data[,"Type"]==ctype,]}
if (!is.nan(object@sim) & object@sim > 0) {
data <- data[data[,"Sim"]==object@sim,]
} else {
ultAgg <- aggregate(ultimateLoss ~ Sim, data = data, sum)
ultAgg <- ultAgg[order(ultAgg[,2]),]
nsim <- nrow(ultAgg)
lsim <- max(1,floor(nsim*object@percentile/100))
usim <- max(1,ceiling(nsim*object@percentile/100))
lambda <- usim - nsim*object@percentile/100
lsim <- ultAgg[lsim,1]
usim <- ultAgg[usim,1]
}
if (nrow(data)<=0){
stop("No data available for rectangle construction.")
} else {
settleYears <- as.numeric(substr(as.character(data$settlementDate),1,4))
resettleYears <- as.numeric(substr(as.character(data$resettleDate),1,4))
settleMonths <- as.numeric(substr(as.character(data$settlementDate),6,7))
resettleMonths <- as.numeric(substr(as.character(data$resettleDate),6,7))
settleYears <- ifelse(is.na(resettleYears), settleYears, resettleYears)
settleMonths <- ifelse(is.na(resettleMonths), settleMonths, resettleMonths)
settleQuarters <- ceiling(settleMonths/3)
startYear <- as.numeric(substr(as.character(object@startDate),1,4))
endYear <- max(settleYears)
evaluationYear <- as.numeric(substr(as.character(evaluationDate),1,4))
futureYear <- as.numeric(substr(as.character(futureDate),1,4))
startMonth <- as.numeric(substr(as.character(object@startDate),6,7))
endMonth <- max(settleMonths)
evaluationMonth <- as.numeric(substr(as.character(evaluationDate),6,7))
futureMonth <- as.numeric(substr(as.character(futureDate),6,7))
startQuarter <- ceiling(startMonth/3)
endQuarter <- ceiling(endMonth/3)
evaluationQuarter <- ceiling(evaluationMonth/3)
futureQuarter <- ceiling(futureMonth/3)
if (object@frequency=="yearly") {
ncols <- endYear - startYear + 1
nevals <- evaluationYear - startYear + 1
nrows <- futureYear - startYear + 1
rowname <- c(startYear:futureYear)
colname <- paste0("M",seq(12,(12*ncols),12))
} else {
ncols <- (endYear - startYear)*4 + endQuarter - startQuarter + 1
nevals <- (evaluationYear - startYear)*4 + evaluationQuarter - startQuarter + 1
nrows <- (futureYear - startYear)*4 + futureQuarter - startQuarter + 1
rowname <- vector()
for (i in c(startYear:futureYear)){
if (i==startYear){
for (j in c(startQuarter:4)){
rowname <- c(rowname,paste0(j,"Q",i))
}
} else if (i == futureYear){
for (j in c(1:futureQuarter)){
rowname <- c(rowname,paste0(j,"Q",i))
}
} else {
for (j in c(1:4)){
rowname <- c(rowname,paste0(j,"Q",i))
}
}
}
colname <- paste0("M",seq(3,(3*ncols),3))
}
rec <- matrix(0,nrows,ncols,dimnames = list(rowname,colname))
nsims <- 1
if (!is.nan(object@sim)) {
if (object@sim > 0) {
data <- data[data[,"Sim"]==object@sim,]
nsims <- 1
} else {
nsims <- length(unique(data[,"Sim"]))
}
data <- data[,colnames(data) %in% c("occurrenceDate","reportDate","settlementDate","ultimateLoss","Paid")]
accidentYears <- as.numeric(substr(as.character(data$occurrenceDate),1,4))
accidentMonths <- as.numeric(substr(as.character(data$occurrenceDate),6,7))
accidentQuarters <- ceiling(accidentMonths/3)
if (object@frequency=="yearly") {
data$rowno <- (accidentYears - startYear) + 1
} else {
data$rowno <- (accidentYears - startYear) * 4 + (accidentQuarters - startQuarter) + 1
}
if (object@type == "reportedCount"){
reportYears <- as.numeric(substr(as.character(data$reportDate),1,4))
reportMonths <- as.numeric(substr(as.character(data$reportDate),6,7))
reportQuarters <- ceiling(reportMonths/3)
if (object@frequency=="yearly") {
data$colno <- (reportYears - accidentYears) + 1
} else {
data$colno <- (reportYears - accidentYears) * 4 + (reportQuarters - accidentQuarters) + 1
}
} else {#if (object@type == "settledCount"){
settleYears <- as.numeric(substr(as.character(data$settlementDate),1,4))
settleYears <- ifelse(is.na(settleYears), endYear, settleYears)
settleMonths <- as.numeric(substr(as.character(data$settlementDate),6,7))
settleMonths <- ifelse(is.na(settleMonths), endMonth, settleMonths)
settleQuarters <- ceiling(settleMonths/3)
if (object@frequency=="yearly") {
data$colno <- (settleYears - accidentYears) + 1
} else {
data$colno <- (settleYears - accidentYears) * 4 + (settleQuarters - accidentQuarters) + 1
}
}
if (object@type == "reportedCount" | object@type == "closedCount") {
agg<-aggregate(occurrenceDate ~ rowno + colno, data = data, length)
} else {
agg<-aggregate(ultimateLoss ~ rowno + colno, data = data, sum)
}
for (i in c(1:length(rowname))){
rowsum <- 0
for (j in c(1:length(colname))){
tmp <- agg[agg$rowno == i & agg$colno == j,][1,3]
if (!is.na(tmp)) {
rowsum <- rowsum + tmp
}
rec[i,j] <- rowsum
}
}
for (i in c(1:length(rowname))){
for (j in c(1:length(colname))){
rec[i,j] <- rec[i,j]/nsims
}
}
if(any(is.na(object@upperkeep))==FALSE){
for (i in c(1:length(rowname))){
if(i <= nrow(object@upperkeep)){
addtmp <- object@upperkeep[i,ncol(object@upperkeep)-i+1]-rec[i,ncol(object@upperkeep)-i+1]
} else {
addtmp <- 0
}
for (j in c(1:length(colname))){
rec[i,j] <- rec[i,j] + addtmp
}
}
}
} else {
data <- data[data[,"Sim"]==lsim | data[,"Sim"]==usim,]
data <- data[,colnames(data) %in% c("occurrenceDate","reportDate","settlementDate","ultimateLoss","Sim")]
accidentYears <- as.numeric(substr(as.character(data$occurrenceDate),1,4))
accidentMonths <- as.numeric(substr(as.character(data$occurrenceDate),6,7))
accidentQuarters <- ceiling(accidentMonths/3)
if (object@frequency=="yearly") {
data$rowno <- (accidentYears - startYear) + 1
} else {
data$rowno <- (accidentYears - startYear) * 4 + (accidentQuarters - startQuarter) + 1
}
if (object@type == "reportedCount"){
reportYears <- as.numeric(substr(as.character(data$reportDate),1,4))
reportMonths <- as.numeric(substr(as.character(data$reportDate),6,7))
reportQuarters <- ceiling(reportMonths/3)
if (object@frequency=="yearly") {
data$colno <- (reportYears - accidentYears) + 1
} else {
data$colno <- (reportYears - accidentYears) * 4 + (reportQuarters - accidentQuarters) + 1
}
} else {#if (object@type == "settledCount"){
settleYears <- as.numeric(substr(as.character(data$settlementDate),1,4))
settleYears <- ifelse(is.na(settleYears), endYear, settleYears)
settleMonths <- as.numeric(substr(as.character(data$settlementDate),6,7))
settleMonths <- ifelse(is.na(settleMonths), endMonth, settleMonths)
settleQuarters <- ceiling(settleMonths/3)
if (object@frequency=="yearly") {
data$colno <- (settleYears - accidentYears) + 1
} else {
data$colno <- (settleYears - accidentYears) * 4 + (settleQuarters - accidentQuarters) + 1
}
}
if (object@type == "reportedCount" | object@type == "closedCount") {
lagg<-aggregate(occurrenceDate ~ rowno + colno, data = data[data[,"Sim"]==lsim,], length)
uagg<-aggregate(occurrenceDate ~ rowno + colno, data = data[data[,"Sim"]==usim,], length)
} else {
lagg<-aggregate(ultimateLoss ~ rowno + colno, data = data[data[,"Sim"]==lsim,], sum)
uagg<-aggregate(ultimateLoss ~ rowno + colno, data = data[data[,"Sim"]==usim,], sum)
}
for (i in c(1:length(rowname))){
rowsum <- 0
for (j in c(1:length(colname))){
ltmp <- lagg[lagg$rowno == i & lagg$colno == j,][1,3]
utmp <- uagg[uagg$rowno == i & uagg$colno == j,][1,3]
tmp <- 0
if(!is.na(ltmp)){tmp<-lambda*ltmp}
if(!is.na(utmp)){tmp<-tmp+(1-lambda)*utmp}
if (!is.na(tmp)) {
rowsum <- rowsum + tmp
}
rec[i,j] <- rowsum
}
}
if(any(is.na(object@upperkeep))==FALSE){
for (i in c(1:length(rowname))){
if(i <= nrow(object@upperkeep)){
addtmp <- object@upperkeep[i,ncol(object@upperkeep)-i+1]-rec[i,ncol(object@upperkeep)-i+1]
} else {
addtmp <- 0
}
for (j in c(1:length(colname))){
rec[i,j] <- rec[i,j] + addtmp
}
}
}
}
if(any(is.na(object@upperkeep))==FALSE){
for (i in c(1:min(nrows,nrow(object@upper)))){
for (j in c(1:(min(ncol(object@upper),ncols)-i+1))){
rec[i,j] <- object@upper[i,j]
}
}
}
object@rectangle <- rec
gc()
object
}
}, error = function(err){
message(paste0(">>>Critical Error: ", err))
gc()
return(-1)
})
})
setMethod("toString",signature("Triangle"), function(object) {
return(object@rectangle)
})
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#' An S4 class to represent a triangle or rectangle object.
#'
#' @slot triID A character string to identify the triangle object.
#' @slot type A character string that indicates the triangle type, such as reportedCount, closedCount, paidLoss, and incurredLoss.
#' @slot startDate The start date for the accident year or Quarter.
#' @slot frequency A character that indicates the frequency of the triangle, "yearly" or "quarterly".
#' @slot sim A number that indicates the simulation number used to complete the rectangle. Zero means using the average value.
#' @slot percentile A number that indicates the percentile used to complete the rectangle. It is only used when sim is NA.
#' @slot iRBNER A Boolean that indicates whether open claims are simulated. If not, current information will be used for constructing rectangles. Otherwise, simulated data will be used.
#' @slot iROPEN A Boolean that indicates whether claim reopen are simulated. If not, current information will be used for constructing rectangles. Otherwise, simulated data will be used.
#' @slot percentile A number that indicates the percentile used to complete the rectangle. It is only used when sim is NA.
#' @slot upper A matrix that contains the upper triangle based on claim data.
#' @slot upperkeep A matrix that contains the upper triangle that are not simulated. It will be used to construct the rectangle for the non-simulated part.
#' @slot rectangle A matrix that contains the entire rectangle based on simulation data.
setClass("Triangle",
slots=c(
triID="character",
type="character",
startDate="Date",
frequency="character",
sim="numeric",
percentile="numeric",
iRBNER="logical",
iROPEN="logical",
upper="matrix",
upperkeep="matrix",
rectangle="matrix"
),
prototype=list(
triID="XXXXXX",
type="reportedCount",
startDate=as.Date("2012-01-01"),
frequency="yearly",
sim=1,
percentile=50,
iRBNER=TRUE,
iROPEN=TRUE,
upper=matrix(),
upperkeep=matrix(),
rectangle=matrix()
)
)
#' @title Set up the upper triangle based on claim data.
#' @description
#' \code{setUpperTriangle} sets up the upper triangle based on a data file.
#' @name setUpperTriangle
#' @param object Triangle Object
#' @param data Claim Data
#' @param ... Additional function arguments.
#' @examples
#' library(cascsim)
#' data(claimdata)
#' xTri <- new("Triangle", triID = "TRI1", type = "reportedCount", startDate=as.Date("2012-01-01"),
#' frequency="yearly", sim=1, percentile=50)
#' xTri<-setUpperTriangle(xTri,claimdata)
#' xTri@upper
#'
#' xTri <- new("Triangle", triID = "TRI1", type = "closedCount", startDate=as.Date("2012-01-01"),
#' frequency="quarterly", sim=1, percentile=50)
#' xTri<-setUpperTriangle(xTri,claimdata)
#' xTri@upper
#'
#' xTri <- new("Triangle", triID = "TRI1", type = "incurredLoss", startDate=as.Date("2012-01-01"),
#' frequency="yearly", sim=1, percentile=50)
#' xTri<-setUpperTriangle(xTri,claimdata,lob="Auto",ctype="H")
#' xTri@upper
#'
#' xTri <- new("Triangle", triID = "TRI1", type = "paidLoss", startDate=as.Date("2012-01-01"),
#' frequency="yearly", sim=1, percentile=50)
#' xTri<-setUpperTriangle(xTri,claimdata,lob="Auto",ctype="H")
#' xTri@upper
#'
#' @rdname setUpperTriangle-methods
#' @exportMethod setUpperTriangle
setGeneric("setUpperTriangle", function(object,data,...) standardGeneric("setUpperTriangle"))
#' @param evaluationDate Evaluation Date;
#' @param lob Line of Business;
#' @param ctype Claim Type.
#' @rdname setUpperTriangle-methods
#' @aliases setUpperTriangle,ANY-method
setMethod("setUpperTriangle",signature("Triangle","data.frame"), function(object,data,evaluationDate=as.Date("2016-12-31"),lob="Total",ctype="Total") {
tryCatch({
if (lob != "Total") {data <- data[data[,"LoB"]==lob,]}
if (ctype != "Total") {data <- data[data[,"Type"]==ctype,]}
startYear <- as.numeric(substr(as.character(object@startDate),1,4))
endYear <- as.numeric(substr(as.character(evaluationDate),1,4))
startMonth <- as.numeric(substr(as.character(object@startDate),6,7))
endMonth <- as.numeric(substr(as.character(evaluationDate),6,7))
startQuarter <- ceiling(startMonth/3)
endQuarter <- ceiling(endMonth/3)
if (object@frequency=="yearly") {
ncols <- endYear - startYear + 1
rowname <- c(startYear:endYear)
colname <- paste0("M",seq(12,(12*ncols),12))
} else {
ncols <- (endYear - startYear)*4 + endQuarter - startQuarter + 1
rowname <- vector()
for (i in c(startYear:endYear)){
if (i==startYear){
for (j in c(startQuarter:4)){
rowname <- c(rowname,paste0(j,"Q",i))
}
} else if (i == endYear){
for (j in c(1:endQuarter)){
rowname <- c(rowname,paste0(j,"Q",i))
}
} else {
for (j in c(1:4)){
rowname <- c(rowname,paste0(j,"Q",i))
}
}
}
colname <- paste0("M",seq(3,(3*ncols),3))
}
rec <- matrix(0,ncols,ncols,dimnames = list(rowname,colname))
if ("Sim" %in% colnames(data)) {
sim <- data$Sim[1]
data <- data[data[,"Sim"]==sim,]
}
data <- data[,colnames(data) %in% c("occurrenceDate","reportDate","settlementDate","incurredLoss","Paid")]
accidentYears <- as.numeric(substr(as.character(data$occurrenceDate),1,4))
accidentMonths <- as.numeric(substr(as.character(data$occurrenceDate),6,7))
accidentQuarters <- ceiling(accidentMonths/3)
if (object@frequency=="yearly") {
data$rowno <- (accidentYears - startYear) + 1
} else {
data$rowno <- (accidentYears - startYear) * 4 + (accidentQuarters - startQuarter) + 1
}
if (object@type == "reportedCount"){
reportYears <- as.numeric(substr(as.character(data$reportDate),1,4))
reportMonths <- as.numeric(substr(as.character(data$reportDate),6,7))
reportQuarters <- ceiling(reportMonths/3)
if (object@frequency=="yearly") {
data$colno <- (reportYears - accidentYears) + 1
} else {
data$colno <- (reportYears - accidentYears) * 4 + (reportQuarters - accidentQuarters) + 1
}
} else if (object@type == "closedCount"){
settleYears <- as.numeric(substr(as.character(data$settlementDate),1,4))
settleYears <- ifelse(is.na(settleYears), endYear+1, settleYears)
settleMonths <- as.numeric(substr(as.character(data$settlementDate),6,7))
settleMonths <- ifelse(is.na(settleMonths), endMonth, settleMonths)
settleQuarters <- ceiling(settleMonths/3)
if (object@frequency=="yearly") {
data$colno <- (settleYears - accidentYears) + 1
} else {
data$colno <- (settleYears - accidentYears) * 4 + (settleQuarters - accidentQuarters) + 1
}
}else {
settleYears <- as.numeric(substr(as.character(data$settlementDate),1,4))
settleYears <- ifelse(is.na(settleYears), endYear, settleYears)
settleMonths <- as.numeric(substr(as.character(data$settlementDate),6,7))
settleMonths <- ifelse(is.na(settleMonths), endMonth, settleMonths)
settleQuarters <- ceiling(settleMonths/3)
if (object@frequency=="yearly") {
data$colno <- (settleYears - accidentYears) + 1
} else {
data$colno <- (settleYears - accidentYears) * 4 + (settleQuarters - accidentQuarters) + 1
}
}
if (object@type == "reportedCount" | object@type == "closedCount") {
agg<-aggregate(occurrenceDate ~ rowno + colno, data = data, length)
} else if (object@type == "incurredLoss") {
agg<-aggregate(incurredLoss ~ rowno + colno, data = data, sum)
} else {
agg<-aggregate(Paid ~ rowno + colno, data = data, sum)
}
for (i in c(1:length(rowname))){
rowsum <- 0
for (j in c(1:(ncols-i+1))){
tmp <- agg[agg$rowno == i & agg$colno == j,][1,3]
if (!is.na(tmp)) {
rowsum <- rowsum + tmp
}
rec[i,j] <- rowsum
}
}
object@upper <- rec
gc()
object
}, error = function(err){
message(paste0(">>>Critical Error: ", err))
gc()
return(-1)
})
})
#' @title Set up the upper triangle for non-simulated data.
#' @description
#' \code{setUpperKeep} sets up the upper triangle for non-simulated data.
#' @name setUpperKeep
#' @param object Triangle Object
#' @param data Claim Data
#' @param ... Additional function arguments.
#' @examples
#' library(cascsim)
#' data(claimdata)
#' xTri <- new("Triangle", triID = "TRI1", type = "reportedCount", startDate=as.Date("2012-01-01"),
#' frequency="yearly", sim=1, percentile=50, iRBNER=TRUE, iROPEN=TRUE)
#' xTri<-setUpperTriangle(xTri,claimdata)
#' xTri<-setUpperKeep(xTri,claimdata)
#' xTri@upperkeep
#'
#' xTri <- new("Triangle", triID = "TRI1", type = "closedCount", startDate=as.Date("2012-01-01"),
#' frequency="quarterly", sim=1, percentile=50, iRBNER=FALSE, iROPEN=TRUE)
#' xTri<-setUpperTriangle(xTri,claimdata)
#' xTri<-setUpperKeep(xTri,claimdata)
#' xTri@upperkeep
#'
#' xTri <- new("Triangle", triID = "TRI1", type = "incurredLoss", startDate=as.Date("2012-01-01"),
#' frequency="yearly", sim=1, percentile=50, iRBNER=TRUE, iROPEN=FALSE)
#' xTri<-setUpperTriangle(xTri,claimdata)
#' xTri<-setUpperKeep(xTri,claimdata,lob="Auto",ctype="H")
#' xTri@upperkeep
#'
#' @rdname setUpperKeep-methods
#' @exportMethod setUpperKeep
setGeneric("setUpperKeep", function(object,data,...) standardGeneric("setUpperKeep"))
#' @param evaluationDate Evaluation Date;
#' @param lob Line of Business;
#' @param ctype Claim Type.
#' @rdname setUpperKeep-methods
#' @aliases setUpperKeep,ANY-method
setMethod("setUpperKeep",signature("Triangle","data.frame"), function(object,data,evaluationDate=as.Date("2016-12-31"),lob="Total",ctype="Total") {
tryCatch({
if (lob != "Total") {data <- data[data[,"LoB"]==lob,]}
if (ctype != "Total") {data <- data[data[,"Type"]==ctype,]}
# if(object@iRBNER == TRUE & object@iROPEN == FALSE){
# data <- data[data[,"status"]=="CLOSED",]
# } else if(object@iRBNER == FALSE & object@iROPEN == TRUE){
# data <- data[data[,"status"]=="OPEN",]
# }
startYear <- as.numeric(substr(as.character(object@startDate),1,4))
endYear <- as.numeric(substr(as.character(evaluationDate),1,4))
startMonth <- as.numeric(substr(as.character(object@startDate),6,7))
endMonth <- as.numeric(substr(as.character(evaluationDate),6,7))
startQuarter <- ceiling(startMonth/3)
endQuarter <- ceiling(endMonth/3)
if (object@frequency=="yearly") {
ncols <- endYear - startYear + 1
rowname <- c(startYear:endYear)
colname <- paste0("M",seq(12,(12*ncols),12))
} else {
ncols <- (endYear - startYear)*4 + endQuarter - startQuarter + 1
rowname <- vector()
for (i in c(startYear:endYear)){
if (i==startYear){
for (j in c(startQuarter:4)){
rowname <- c(rowname,paste0(j,"Q",i))
}
} else if (i == endYear){
for (j in c(1:endQuarter)){
rowname <- c(rowname,paste0(j,"Q",i))
}
} else {
for (j in c(1:4)){
rowname <- c(rowname,paste0(j,"Q",i))
}
}
}
colname <- paste0("M",seq(3,(3*ncols),3))
}
rec <- matrix(0,ncols,ncols,dimnames = list(rowname,colname))
if ("Sim" %in% colnames(data)) {
sim <- data$Sim[1]
data <- data[data[,"Sim"]==sim,]
}
# if (object@iRBNER == FALSE & object@iROPEN == FALSE) {
# rec <- object@upper
#} else if (object@iRBNER == TRUE & object@iROPEN == TRUE) {
#
# } else {
data <- data[,colnames(data) %in% c("occurrenceDate","reportDate","settlementDate","incurredLoss","Paid")]
accidentYears <- as.numeric(substr(as.character(data$occurrenceDate),1,4))
accidentMonths <- as.numeric(substr(as.character(data$occurrenceDate),6,7))
accidentQuarters <- ceiling(accidentMonths/3)
if (object@frequency=="yearly") {
data$rowno <- (accidentYears - startYear) + 1
} else {
data$rowno <- (accidentYears - startYear) * 4 + (accidentQuarters - startQuarter) + 1
}
if (object@type == "reportedCount"){
reportYears <- as.numeric(substr(as.character(data$reportDate),1,4))
reportMonths <- as.numeric(substr(as.character(data$reportDate),6,7))
reportQuarters <- ceiling(reportMonths/3)
if (object@frequency=="yearly") {
data$colno <- (reportYears - accidentYears) + 1
} else {
data$colno <- (reportYears - accidentYears) * 4 + (reportQuarters - accidentQuarters) + 1
}
} else if (object@type == "closedCount"){
settleYears <- as.numeric(substr(as.character(data$settlementDate),1,4))
settleYears <- ifelse(is.na(settleYears), endYear+1, settleYears)
settleMonths <- as.numeric(substr(as.character(data$settlementDate),6,7))
settleMonths <- ifelse(is.na(settleMonths), endMonth, settleMonths)
settleQuarters <- ceiling(settleMonths/3)
if (object@frequency=="yearly") {
data$colno <- (settleYears - accidentYears) + 1
} else {
data$colno <- (settleYears - accidentYears) * 4 + (settleQuarters - accidentQuarters) + 1
}
} else {
settleYears <- as.numeric(substr(as.character(data$settlementDate),1,4))
settleYears <- ifelse(is.na(settleYears), endYear, settleYears)
settleMonths <- as.numeric(substr(as.character(data$settlementDate),6,7))
settleMonths <- ifelse(is.na(settleMonths), endMonth, settleMonths)
settleQuarters <- ceiling(settleMonths/3)
if (object@frequency=="yearly") {
data$colno <- (settleYears - accidentYears) + 1
} else {
data$colno <- (settleYears - accidentYears) * 4 + (settleQuarters - accidentQuarters) + 1
}
}
if (object@type == "reportedCount" | object@type == "closedCount") {
agg<-aggregate(occurrenceDate ~ rowno + colno, data = data, length)
} else if(object@type == "incurredLoss"){
agg<-aggregate(incurredLoss ~ rowno + colno, data = data, sum)
} else {
agg<-aggregate(Paid ~ rowno + colno, data = data, sum)
}
for (i in c(1:length(rowname))){
rowsum <- 0
for (j in c(1:(ncols-i+1))){
tmp <- agg[agg$rowno == i & agg$colno == j,][1,3]
if (!is.na(tmp)) {
rowsum <- rowsum + tmp
}
rec[i,j] <- rowsum
}
}
# }
object@upperkeep <- rec
gc()
object
}, error = function(err){
message(paste0(">>>Critical Error: ", err))
gc()
return(-1)
})
})
#' @title Set up the rectangle based on simulated data.
#' @description
#' \code{setRectangle} sets up the rectangle based on a data file.
#' @name setRectangle
#' @param object Triangle Object
#' @param data Simulated Data
#' @param ... Additional function arguments.
#' @rdname setRectangle-methods
setGeneric("setRectangle", function(object,data,...) standardGeneric("setRectangle"))
#' @param evaluationDate Evaluation Date;
#' @param futureDate End of projection date;
#' @param lob Line of Business;
#' @param ctype Claim Type.
#' @rdname setRectangle-methods
#' @aliases setRectangle,ANY-method
setMethod("setRectangle",signature("Triangle","data.frame"), function(object,data,evaluationDate=as.Date("2016-12-31"),futureDate=as.Date("2017-12-31"),lob="Total",ctype="Total") {
tryCatch({
if (lob != "Total") {data <- data[data[,"LoB"]==lob,]}
if (ctype != "Total") {data <- data[data[,"Type"]==ctype,]}
if (!is.nan(object@sim) & object@sim > 0) {
data <- data[data[,"Sim"]==object@sim,]
} else {
ultAgg <- aggregate(ultimateLoss ~ Sim, data = data, sum)
ultAgg <- ultAgg[order(ultAgg[,2]),]
nsim <- nrow(ultAgg)
lsim <- max(1,floor(nsim*object@percentile/100))
usim <- max(1,ceiling(nsim*object@percentile/100))
lambda <- usim - nsim*object@percentile/100
lsim <- ultAgg[lsim,1]
usim <- ultAgg[usim,1]
}
if (nrow(data)<=0){
stop("No data available for rectangle construction.")
} else {
settleYears <- as.numeric(substr(as.character(data$settlementDate),1,4))
resettleYears <- as.numeric(substr(as.character(data$resettleDate),1,4))
settleMonths <- as.numeric(substr(as.character(data$settlementDate),6,7))
resettleMonths <- as.numeric(substr(as.character(data$resettleDate),6,7))
settleYears <- ifelse(is.na(resettleYears), settleYears, resettleYears)
settleMonths <- ifelse(is.na(resettleMonths), settleMonths, resettleMonths)
settleQuarters <- ceiling(settleMonths/3)
startYear <- as.numeric(substr(as.character(object@startDate),1,4))
endYear <- max(settleYears)
evaluationYear <- as.numeric(substr(as.character(evaluationDate),1,4))
futureYear <- as.numeric(substr(as.character(futureDate),1,4))
startMonth <- as.numeric(substr(as.character(object@startDate),6,7))
endMonth <- max(settleMonths)
evaluationMonth <- as.numeric(substr(as.character(evaluationDate),6,7))
futureMonth <- as.numeric(substr(as.character(futureDate),6,7))
startQuarter <- ceiling(startMonth/3)
endQuarter <- ceiling(endMonth/3)
evaluationQuarter <- ceiling(evaluationMonth/3)
futureQuarter <- ceiling(futureMonth/3)
if (object@frequency=="yearly") {
ncols <- endYear - startYear + 1
nevals <- evaluationYear - startYear + 1
nrows <- futureYear - startYear + 1
rowname <- c(startYear:futureYear)
colname <- paste0("M",seq(12,(12*ncols),12))
} else {
ncols <- (endYear - startYear)*4 + endQuarter - startQuarter + 1
nevals <- (evaluationYear - startYear)*4 + evaluationQuarter - startQuarter + 1
nrows <- (futureYear - startYear)*4 + futureQuarter - startQuarter + 1
rowname <- vector()
for (i in c(startYear:futureYear)){
if (i==startYear){
for (j in c(startQuarter:4)){
rowname <- c(rowname,paste0(j,"Q",i))
}
} else if (i == futureYear){
for (j in c(1:futureQuarter)){
rowname <- c(rowname,paste0(j,"Q",i))
}
} else {
for (j in c(1:4)){
rowname <- c(rowname,paste0(j,"Q",i))
}
}
}
colname <- paste0("M",seq(3,(3*ncols),3))
}
rec <- matrix(0,nrows,ncols,dimnames = list(rowname,colname))
nsims <- 1
if (!is.nan(object@sim)) {
if (object@sim > 0) {
data <- data[data[,"Sim"]==object@sim,]
nsims <- 1
} else {
nsims <- length(unique(data[,"Sim"]))
}
data <- data[,colnames(data) %in% c("occurrenceDate","reportDate","settlementDate","ultimateLoss","Paid")]
accidentYears <- as.numeric(substr(as.character(data$occurrenceDate),1,4))
accidentMonths <- as.numeric(substr(as.character(data$occurrenceDate),6,7))
accidentQuarters <- ceiling(accidentMonths/3)
if (object@frequency=="yearly") {
data$rowno <- (accidentYears - startYear) + 1
} else {
data$rowno <- (accidentYears - startYear) * 4 + (accidentQuarters - startQuarter) + 1
}
if (object@type == "reportedCount"){
reportYears <- as.numeric(substr(as.character(data$reportDate),1,4))
reportMonths <- as.numeric(substr(as.character(data$reportDate),6,7))
reportQuarters <- ceiling(reportMonths/3)
if (object@frequency=="yearly") {
data$colno <- (reportYears - accidentYears) + 1
} else {
data$colno <- (reportYears - accidentYears) * 4 + (reportQuarters - accidentQuarters) + 1
}
} else {#if (object@type == "settledCount"){
settleYears <- as.numeric(substr(as.character(data$settlementDate),1,4))
settleYears <- ifelse(is.na(settleYears), endYear, settleYears)
settleMonths <- as.numeric(substr(as.character(data$settlementDate),6,7))
settleMonths <- ifelse(is.na(settleMonths), endMonth, settleMonths)
settleQuarters <- ceiling(settleMonths/3)
if (object@frequency=="yearly") {
data$colno <- (settleYears - accidentYears) + 1
} else {
data$colno <- (settleYears - accidentYears) * 4 + (settleQuarters - accidentQuarters) + 1
}
}
if (object@type == "reportedCount" | object@type == "closedCount") {
agg<-aggregate(occurrenceDate ~ rowno + colno, data = data, length)
} else {
agg<-aggregate(ultimateLoss ~ rowno + colno, data = data, sum)
}
for (i in c(1:length(rowname))){
rowsum <- 0
for (j in c(1:length(colname))){
tmp <- agg[agg$rowno == i & agg$colno == j,][1,3]
if (!is.na(tmp)) {
rowsum <- rowsum + tmp
}
rec[i,j] <- rowsum
}
}
for (i in c(1:length(rowname))){
for (j in c(1:length(colname))){
rec[i,j] <- rec[i,j]/nsims
}
}
if(any(is.na(object@upperkeep))==FALSE){
for (i in c(1:length(rowname))){
if(i <= nrow(object@upperkeep)){
addtmp <- object@upperkeep[i,ncol(object@upperkeep)-i+1]-rec[i,ncol(object@upperkeep)-i+1]
} else {
addtmp <- 0
}
for (j in c(1:length(colname))){
rec[i,j] <- rec[i,j] + addtmp
}
}
}
} else {
data <- data[data[,"Sim"]==lsim | data[,"Sim"]==usim,]
data <- data[,colnames(data) %in% c("occurrenceDate","reportDate","settlementDate","ultimateLoss","Sim")]
accidentYears <- as.numeric(substr(as.character(data$occurrenceDate),1,4))
accidentMonths <- as.numeric(substr(as.character(data$occurrenceDate),6,7))
accidentQuarters <- ceiling(accidentMonths/3)
if (object@frequency=="yearly") {
data$rowno <- (accidentYears - startYear) + 1
} else {
data$rowno <- (accidentYears - startYear) * 4 + (accidentQuarters - startQuarter) + 1
}
if (object@type == "reportedCount"){
reportYears <- as.numeric(substr(as.character(data$reportDate),1,4))
reportMonths <- as.numeric(substr(as.character(data$reportDate),6,7))
reportQuarters <- ceiling(reportMonths/3)
if (object@frequency=="yearly") {
data$colno <- (reportYears - accidentYears) + 1
} else {
data$colno <- (reportYears - accidentYears) * 4 + (reportQuarters - accidentQuarters) + 1
}
} else {#if (object@type == "settledCount"){
settleYears <- as.numeric(substr(as.character(data$settlementDate),1,4))
settleYears <- ifelse(is.na(settleYears), endYear, settleYears)
settleMonths <- as.numeric(substr(as.character(data$settlementDate),6,7))
settleMonths <- ifelse(is.na(settleMonths), endMonth, settleMonths)
settleQuarters <- ceiling(settleMonths/3)
if (object@frequency=="yearly") {
data$colno <- (settleYears - accidentYears) + 1
} else {
data$colno <- (settleYears - accidentYears) * 4 + (settleQuarters - accidentQuarters) + 1
}
}
if (object@type == "reportedCount" | object@type == "closedCount") {
lagg<-aggregate(occurrenceDate ~ rowno + colno, data = data[data[,"Sim"]==lsim,], length)
uagg<-aggregate(occurrenceDate ~ rowno + colno, data = data[data[,"Sim"]==usim,], length)
} else {
lagg<-aggregate(ultimateLoss ~ rowno + colno, data = data[data[,"Sim"]==lsim,], sum)
uagg<-aggregate(ultimateLoss ~ rowno + colno, data = data[data[,"Sim"]==usim,], sum)
}
for (i in c(1:length(rowname))){
rowsum <- 0
for (j in c(1:length(colname))){
ltmp <- lagg[lagg$rowno == i & lagg$colno == j,][1,3]
utmp <- uagg[uagg$rowno == i & uagg$colno == j,][1,3]
tmp <- 0
if(!is.na(ltmp)){tmp<-lambda*ltmp}
if(!is.na(utmp)){tmp<-tmp+(1-lambda)*utmp}
if (!is.na(tmp)) {
rowsum <- rowsum + tmp
}
rec[i,j] <- rowsum
}
}
if(any(is.na(object@upperkeep))==FALSE){
for (i in c(1:length(rowname))){
if(i <= nrow(object@upperkeep)){
addtmp <- object@upperkeep[i,ncol(object@upperkeep)-i+1]-rec[i,ncol(object@upperkeep)-i+1]
} else {
addtmp <- 0
}
for (j in c(1:length(colname))){
rec[i,j] <- rec[i,j] + addtmp
}
}
}
}
if(any(is.na(object@upperkeep))==FALSE){
for (i in c(1:min(nrows,nrow(object@upper)))){
for (j in c(1:(min(ncol(object@upper),ncols)-i+1))){
rec[i,j] <- object@upper[i,j]
}
}
}
object@rectangle <- rec
gc()
object
}
}, error = function(err){
message(paste0(">>>Critical Error: ", err))
gc()
return(-1)
})
})
setMethod("toString",signature("Triangle"), function(object) {
return(object@rectangle)
})
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