claimSimulation-methods: Claim simulation at line/type/status level

In casact/cascsim: Casualty Actuarial Society Individual Claim Simulator

Claim simulation at line/type/status level

Description

Claim simulation at line/type/status level

Usage

claimSimulation(object, ...)

## S4 method for signature 'Simulation'
claimSimulation(
  object,
  claimData = data.frame(),
  startDate = as.Date("2012-01-01"),
  evaluationDate = as.Date("2016-12-31"),
  futureDate = as.Date("2017-12-31"),
  append = TRUE
)

Arguments

object	Simulation object
...	Additional parameters that may or may not be used. examples library(cascsim) data(claimdata) lines <- c("Auto") types <- c("N") AutoN <- new("ClaimType", line = "Auto", claimType = "N") AutoN@exposureIndex <- setIndex(new("Index",indexID="I1",tabulate= FALSE, startDate=as.Date("2012-01-01"), annualizedRate = 0)) # level exposure across time AutoN@frequency <- new("Poisson", p1 =50) AutoN@severityIndex <- setIndex(new("Index",indexID="I2",tabulate= FALSE, startDate=as.Date("2012-01-01"), annualizedRate = 0.02)) #assuming a 2 AutoN@severity <- new("Lognormal", p1 =2, p2 =3) AutoN@deductible <- new("Empirical", empirical=matrix(c(0,1,100,100),2,2)) AutoN@limit <- new("Empirical", empirical=matrix(c(0,1,1e8,1e8),2,2)) AutoN@p0<-0 AutoN@reportLag <- new("Exponential", p1 =0.1) AutoN@settlementLag <- new("Exponential", p1 =0.05) AutoN@iCopula <- TRUE #use copula AutoN@ssrCopula <- new("CopulaObj", type ="normal", dimension = 3, param = c(0.1,0.2,0.1))#A Gaussian Copula AutoN@ssrCopula@marginal <- c(AutoN@severity,AutoN@settlementLag,AutoN@reportLag) AutoN@laeDevFac <- new("DevFac",FacID="F1",FacModel= TRUE,fun="linear", paras =c(5,1.5,0.005,1.2,3)) AutoN@fIBNER <- new("DevFac",FacID="D1",FacModel= FALSE, meanList =c(1.2,1.15,1.1,1.05,1),volList =c(0,0,0,0,0)) AutoN@reopen <- new("DevFac",FacID="D2",FacModel= FALSE, meanList =c(0.02,0.015,0.01,0.005,0),volList =c(0.003, 0.002, 0.001, 0.001, 0)) AutoN@roDevFac <- new("DevFac",FacID="D3",FacModel= FALSE, meanList =c(1.05,1.1,1,1,1),volList =c(0.00589,0.0037,0.00632,0.00815,0)) AutoN@reopenLag <- new("Exponential", p1 =0.01) AutoN@resettleLag <- new("Exponential", p1 =0.25) simobj <- new("Simulation", lines=lines, types=types, claimobjs= list(AutoN)) simobj@simNo <- 1 simobj@iRBNER <-FALSE simobj@iROPEN <-FALSE simobj@iIBNR <-TRUE simobj@iUPR <-FALSE simdata <- claimSimulation(simobj,claimdata, startDate = as.Date("2012-01-01"), evaluationDate = as.Date("2016-12-31"), futureDate = as.Date("2017-12-31"))
claimData	claim data including existing claims for RBNER and claim reopenness analysis;
startDate	Date after which claims are analyzed;
evaluationDate	Date of evaluation for existing claims and IBNR;
futureDate	Date of evaluation for UPR (future claims).
append	Boolean variable to indicate whether existing simulation results need to be kept.

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