sevfit: this is the fitting function

In Atan1988/FlexFit: Fits Severity distributions for Insurance data

Description

For Untruncated fit, just leave out Att and rTrunc For uncenored fit, just leave out Lmt

Usage

sevfit(y, Att = 0, Lmt = Inf, rTrunc = Inf, FUN, ini,
  mtd = "nlminb", parnames = NULL, fixedpar = NULL,
  fixedparn = NULL, covardf = NULL, formula = ~1, modelpar = NULL,
  link = "identity", gn_ll = NULL, gn_ll_mtd = NULL, prior = NULL,
  ll_scale = 0, lower = -Inf, upper = Inf, hessian = F, ...)

Arguments

y	GU observations, for observations net of attachment/deductible, y = obs + Att
Att	the truncation points;
Lmt	the censoring limit
ini	the initial set of values; x is observations
mtd	the optimizing method, default is "Nelder-Mead", as it doesn't require gradient function
parnames	a vector that specify names of parameters
gn_ll	the gradient function of logliklihood, this is should be NULL, unless you are sure that the gradient function of the logliklihood is appropriate
gn_ll_mtd	when gn_ll is NULL, gradient function is generated using numerical differentiation, if this parameter is set as NULL, then no gradient function will be supplied to optimization, for other options refer to methods of the grad function from numDeriv package
prior	(BETA) priors for the parameters can be supplied, currently only normal and require specifying all parameters
ll_scale	(BETA) constant that scales loglikelihoods to be more normalized, default to 0
lower	lower bound of the parameters, see optimx for more detail
upper	upper bound of the parameters, see optimx for more detail
hessian	whether to return hessian matrix at final paramters
Func	determines the distribution function, eg. "gamma", "lnorm", "pareto";

Examples

n = 5000
x <- rgamma(n, shape=2, scale = 5)
Att <- sample(seq(0, 1, 0.2), n,  replace = TRUE)
Lmt <- sample(seq(5, 20, 1), n,  replace = TRUE)
x1 <- pmin(pmax(x - Att, 0), Lmt)
dat <- data.frame(cbind(x, Att, Lmt, x1))
dat1 <- dat[dat$x1 > 0, ]
(gammafit <- sevfit(y=dat1$x1, Att=dat1$Att, Lmt = dat1$Lmt, FUN="gamma", ini=c(2, 2), mtd="NM",
                   parnames=c("shape", "scale")))
AIC(gammafit)

Atan1988/FlexFit documentation built on Jan. 16, 2022, 12:32 a.m.