simulate_scenario_baseline: Simulate portfolios along various scenarios using the...

In jonascrevecoeur/hirem: Hierarchical reserving models

Description

Simulate portfolios along different scenarios using a simulation engine. Four scenarios are currently implemented: a baseline, change in claim mix, extreme event or change in settlement scenario.

Usage

simulate_scenario_baseline(
  seed,
  n = 125000,
  prob.Type = c(0.6, 0.25, 0.15),
  prob.Hidden = c(0.35, 0.45, 0.2),
  max_rep_delay = 2,
  max_set_delay = 20
)

simulate_scenario_claim_mix(
  seed,
  n = 125000,
  prob.Type = c(0.6, 0.25, 0.15),
  prob.Hidden = c(0.35, 0.45, 0.2),
  max_rep_delay = 2,
  max_set_delay = 20,
  inflation = c(-0.02, 0.005, 0.015)
)

simulate_scenario_extreme_event(
  seed,
  n = 125000,
  prob.Type = c(0.6, 0.25, 0.15),
  prob.Hidden = c(0.35, 0.45, 0.2),
  max_rep_delay = 2,
  max_set_delay = 20,
  period_extra = "2019"
)

simulate_scenario_change_in_settlement(
  seed,
  n = 125000,
  prob.Type = c(0.6, 0.25, 0.15),
  prob.Hidden = c(0.35, 0.45, 0.2),
  max_rep_delay = 2,
  max_set_delay = 20,
  settlement_change = "2017"
)

Arguments

seed	Integer. Set the seed for the random number generators.
n	Integer. The number of claims (occurrence dates) to generate.
prob.Type	Optional. Numeric vector of size 3 representing the probability distribution of the claim type.
prob.Hidden	Optional. Numeric vector of length 3 representing the probability distribution of the unobserved covariate 'hidden'.
max_rep_delay	Optional. The assumed maximal reporting delay in years.
max_set_delay	Optional. The assumed maximal settlement delay in years.
inflation	Optional. Numeric vector of size 3 representing the yearly change in the probability distribution of the claim types in the scenario describing the change in claim mix.
period_extra	Optional character. Year in which the extreme event takes place. The extreme event lasts for one month and occurs somewhere randomly within the chosen year.
settlement_change	Optional character. Year from when a change in settlement delay takes place.

Value

A portfolio generated along the chosen scenario.

jonascrevecoeur/hirem documentation built on Dec. 14, 2021, 3 p.m.