simTriangle-methods: Claim simulation result triangles

In casact/cascsim: Casualty Actuarial Society Individual Claim Simulator

Claim simulation result triangles

Description

Claim simulation result triangles

Usage

simTriangle(object, claimdata, simdata, ...)

## S4 method for signature 'Simulation,data.frame,data.frame'
simTriangle(
  object,
  claimdata,
  simdata,
  frequency = "yearly",
  startDate = as.Date("2012-01-01"),
  evaluationDate = as.Date("2016-12-31"),
  futureDate = as.Date("2017-12-31")
)

Arguments

object	Simulation object
claimdata	claim data used as basis for simulation
simdata	simulation data generated by claimSimulation
...	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")) simSummary <- simSummary(simobj,simdata) simTriangle <- simTriangle(simobj,claimdata,simdata)
frequency	triangle frequency, either "yearly" or "quarterly";
startDate	Date after which claims are analyzed;
evaluationDate	Date of evaluation for existing claims and IBNR;
futureDate	Date of evaluation for UPR (future claims).

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