FitDist-class: An S4 class to represent distribution fitting.
In casact/cascsim: Casualty Actuarial Society Individual Claim Simulator

FitDist-class

R Documentation

An S4 class to represent distribution fitting.

Description

An S4 class to represent distribution fitting.

Slots

observation: Raw data input containing loss sizes for severity analysis and number of losses for frequency analysis.
fitdata: Processed data for distribution fitting. Frequency data may be provided as occurrence dates. The class will transform them into frequency data before distribution fitting.
trend: Index object for detrending the data.
startDate: Start date of claim data used for distribution fitting. The trend Index should also start from the same date (year-month).
endDate: End date of claim data used for distribution fitting.
trail: Trial Distribution object to start fitting.
fitted: Fitted Distribution object.
reportLag: Report lag distribution to adjust frequency data.
iLag: Whether to adjust the frequency data with report lag distribution.
method: Distribution fitting method. Maximum likelihood estimation (mle), moment matching estimation(mme) and quantile matching estimation(qme) are available.
probs: A vector containing the percentiles to be matched if qme is used for fitting.
ifreq: A boolean indicating whether it is frequency data or severity data.
idate: A boolean indicating whether frequency data is provided as occurrence dates (TRUE) or number of occurrences (FALSE).
datelist: A vector containing occurrence dates. It could be a data field in a claim file.
freq: A character string indicating the frequency: "Annual" or "Monthly".
iDL: A boolean indicating whether deductible and limit is considered in distribution fitting.
limit: A vector containing the limit for each claim.
deductible: A vector containing the deductible for each claim.
p0: A number that is the probability of having a zero-amount claim after deductible.
dof: Degree of freedom.
psd: A vector containing the standard deviation of parameter estimation. It is only available for mle.
aic: Akaike information criterion.
bic: Bayesian information criterion.
chisq: Chi-Squared Test Statistic.
pchisq: p-value of Chi-Squared Test.
kstest: K-S Test Statistic. Only used for continuous distribution.
pkstest: p-value of K-S Test. Only used for continuous distribution.
soutput: Distribution fitting summary.