ultiDevFac | R Documentation |
Calculate ultimate development factor based on current development year, a mean development factor schedule and its volatility. It is used to simulate the ultimate loss for open claims.
ultiDevFac( Years, meanDevFac, sdDevFac = rep(0, length(meanDevFac)), distType = "normal" )
Years |
Include two columns: Current development year and Settlement Year |
meanDevFac |
A vector that contains the expected development factor schedule for Normal distribution. It is mu for Lognormal distribution and shape for Gamma distribution. |
sdDevFac |
A vector that contains the standard deviation of expected development factor schedule for Normal distribution. It is sigma for Lognormal distribution and scale for Gamma distribution. |
distType |
distribution type for development factor. It can be "normal", "lognormal" or "gamma". |
meanfac<-c(1.1,1.08,1.05,1.03,1.01,1) volfac<-rep(0.02,6) years<-matrix(c(1:6),3,2) ultiDevFac(years,meanfac,volfac)
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