claim_size: Claim Size

In SynthETIC: Synthetic Experience Tracking Insurance Claims

Claim Size

Description

Simulates and returns the size of each of the claims occurring in each of the periods, given its cumulative distribution function.

Note that claim_size() aims to model the claim sizes without inflation.

Usage

claim_size(frequency_vector, simfun, type = c("r", "p"), ...)

Arguments

frequency_vector	a vector of claim frequencies for all the periods.
simfun	optional alternative sampling distribution; see Details.
type	the type of simfun provided. The default is a random generation function (e.g. rweibull); the alternative "p" is any valid cumulative distribution function (e.g. pweibull).
...	other arguments/parameters to be passed onto simfun.

Details

By default claim_size() assumes a left truncated power normal distribution: S^0.2 ~ Normal (9.5, sd = 3), left truncated at 30. The truncation is done via resampling for rejected values.

Users can opt to use alternative distributions if desired. As discussed in claim_frequency, users can declare such specification through the simfun argument, which takes both random generation functions (type = "r", the default) and cumulative distribution functions (type = "p"). See Examples.

For the latter, claim_size() will first search for the existence of the corresponding r-function. If it notes the existence of such an r-function (e.g. rweibull for simfun = pweibull), it will directly apply the r-function to optimise simulation efficiency. Otherwise, the function uses a numerical inverse transform method for simulation (see simulate_cdf), which may not be the most efficient and can potentially result in errors if an appropriate range is not specified in the optional arguments.

Value

A list of claim sizes such that the ith component of the list gives the sizes for all claims that occurred in period i.

Examples

n_vector <- c(90, 79, 102, 78, 86, 88, 116, 84, 93, 104)
claim_size(n_vector)[[1]] # gives the sizes for all
                          # all claims incurred in period 1

# use some custom pre-defined distribution function
claim_size(n_vector, stats::rweibull, shape = 4, scale = 100000)[[1]]
# equivalently
claim_size(n_vector, stats::pweibull, "p", shape = 4, scale = 100000)[[1]]

SynthETIC documentation built on Sept. 3, 2023, 5:06 p.m.