MackNet_Boot: MackNet_Boot

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

Description

It produces the boostrapping to obtain a full reserves distribution with the MackNet model.

Usage

MackNet_Boot(Simulations, Parameters, Cumulative.T, OutliersControl)

Arguments

Simulations	Number of samples produced by the MackNet model
Parameters	List with all the MackNet parameters. Please refer to function MackNet_Parameters for further details
Cumulative.T	Cumulative payments triangle.
OutliersControl	Development factors below 0.975 are not allowed when this variable is set to 1.

Value

The formula generates the following outputs:

• Residuals_Boot Residuals used within the bootstrap procedure.

• Payments.D It contains the total following year payments sampled by the MackNet model.

• Reservest.D It contains the total reserves sampled by the MackNet model.

• Reservest_1.D It contains the total reserves in t+1 sampled by the MackNet model.

• Ultimatest.D It contains the ultimate cost sampled by the MackNet model.

• Payments.D.Vector It contains the following year payments by accident year sampled by the MackNet model.

• Reservest.D.Vector It contains the reserves by accident year sampled by the MackNet model.

• Reservest_1.D.Vector It contains the reserves in t+1 by accident year sampled by the MackNet model.

• Ultimatest.D.Vector It contains the ultimate cost by accident year sampled by the MackNet model.

• TrianglesBackup This array contains all the triangles sampled by the MackNet model.

• UpperTrianglesBackup Only for testing purposes. It assumes that the only observed value is the one included in the first development year.

• Boot_DevFactors Predictive development factors sampled by the boostrap procedure.

• Development_Factors_MackNet Predictive development factors of the MackNet model.

• Alpha Predictive alpha by development year of the MackNet model. This variable is named as sigma in "Mack-Net model: Blending Mack's model with Recurrent Neural Networks".

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