Mack.Bias.Adj.Full: Mack.Bias.Adj.Full

In EduardoRamosP/MackNet: Mack-Net model: Blending Mack's model with Recurrent Neural Networks

Description

It calculates the bias adjustment to be applied to the residuals.

Usage

Mack.Bias.Adj.Full(Pearson.Resid, Constant.Param)

Arguments

Pearson.Resid

MackNet residuals

Constant.Param

If this variable is set to 0, the bias adjustment suggested by England y Verrall (2006) in "Predictive Distributions of Outstanding Liabilities in General Insurance" is applied, this means that residuals are multiplied by N/(N-p). In case this variable is set to 1, the adjustment suggested by Mack (1993) in "Distribution-free calculation of the standard error of chain ladder reserve estimates" is applied, this means that residuals are multiplied by n(i)/(n(i)-1). Finally, if this variable is set to 2, no adjustment is applied.

Value

Bias adjustment to be applied to the MackNet residuals.

EduardoRamosP/MackNet documentation built on Sept. 26, 2020, 9:21 a.m.