claimFitting-methods: Claim data fitting analysis at line/type/status level

In casact/cascsim: Casualty Actuarial Society Individual Claim Simulator

Claim data fitting analysis at line/type/status level

Description

Claim data fitting analysis at line/type/status level

Usage

claimFitting(object, claimData, ...)

## S4 method for signature 'Simulation,data.frame'
claimFitting(
  object,
  claimData,
  startDate = as.Date("2012-01-01"),
  evaluationDate = as.Date("2016-12-31"),
  lineList = object@lines,
  typeList = object@types,
  discreteDist = c("Poisson", "NegativeBinomial", "Geometric"),
  continuousDist = c("Normal", "Lognormal", "Pareto", "Weibull", "Gamma", "Uniform",
    "Exponential"),
  copulaList = c("normal"),
  fReportLag = TRUE,
  fSettlementLag = TRUE,
  fFrequency = TRUE,
  fSeverity = TRUE,
  fSSRCorrelation = TRUE,
  fFreqCorrelation = TRUE,
  copulaTest = TRUE,
  iTotalLoss = TRUE,
  fDeductible = TRUE,
  fLimit = TRUE,
  check = TRUE
)

Arguments

object	Simulation object
claimData	claim data including existing claims for RBNER and claim reopenness analysis
...	Additional parameters that may or may not be used.
startDate	Date after which claims are analyzed;
evaluationDate	Date of evaluation for existing claims and IBNR;
lineList	List of business lines to be included in claim fitting;
typeList	List of claim types to be included in claim fitting;
discreteDist	List of discrete distributions to try fitting (report lag, settlemet lag, frequency);
continuousDist	List of continuous distribution to try fitting (severity);
copulaList	List of copula to try fitting;
fReportLag	Boolean variable to indicate whether report lag needs to be fitted;
fSettlementLag	Boolean variable to indicate whether settlement lag needs to be fitted;
fFrequency	Boolean variable to indicate whether monthly frequency needs to be fitted;
fSeverity	Boolean variable to indicate whether severity needs to be fitted;
fSSRCorrelation	Boolean variable to indicate whether copula among severity, report lag and settlement lag needs to be fitted;
fFreqCorrelation	Boolean variable to indicate whether copula among frequencies of business lines needs to be fitted.
copulaTest	Whether to test copula. The testing could take a very long time;
iTotalLoss	Boolean variable to indicate whether total loss before deductible and limit is available for severity fitting;
fDeductible	Boolean variable to indicate whether deductible empirical distribution needs to be fitted;
fLimit	Boolean variable to indicate whether limit empirical distribution needs to be fitted;
check	Boolean variable to indicate whether graph of each tried distribution fitting needs to be generated and saved.

Examples

library(cascsim)
data(claimdata)
lines<-c("Auto")
types<-c("N")
#exposure index
index1 <- new("Index",monthlyIndex=c(rep(1,11),cumprod(c(1,rep(1.5^(1/12),11))),
cumprod(c(1.5,rep((1.3/1.5)^(1/12),11))),
cumprod(c(1.3,rep((1.35/1.3)^(1/12),11))),cumprod(c(1.35,rep((1.4/1.35)^(1/12),11))),rep(1.4,301)))
#severity index
index2 <- new("Index",monthlyIndex=c(cumprod(c(1,rep(1.03^(1/12),59))),rep(1.03^(5),300)))
objan <- new("ClaimType", line="Auto",claimType="N",exposureIndex=index1,severityIndex=index2)
objlist <- list(objan)
simobj <- new("Simulation",lines=lines,types=types,claimobjs=objlist,iFit=TRUE,
iCopula=FALSE, iReport=TRUE)
simobj <- claimFitting(simobj,claimdata,fSSRCorrelation = FALSE, fSettlementLag = FALSE)

casact/cascsim documentation built on Nov. 12, 2022, 11:53 p.m.