data.loss.BZ: Motor data

In apc: Age-Period-Cohort Analysis

Description

Function that organises loss data in apc.data.list format.

The data set is taken from table 3.5 of Barnett & Zehnwirth (2000). Source of data unclear. It includes a run-off triangle: "response" (X) is paid amounts (units not reported) along with measures of exposure.

Data also analysed in e.g. Kuang, Nielsen, Nielsen (2011).

The data set is in "CL"-format.

At present apc.package does not have functions for either forecasting or for exploiting the counts. For this one can with advantage use the DCL.package.

Usage

data.loss.BZ

Value

The value is a list in apc.data.list format.

response	vector of paid amounts, X
counts	vector of number of reported claims, N
dose	NULL.
data.format	logical. Equal to "CL.vector.by.row". Data organised in vectors.
age1	numeric. Equal to 1.
per1	NULL. Not needed when data.format="CL"
coh1	numeric. Equal to 1.
unit	numeric. Equal to 1.
per.zero	NULL. Not needed when data.format="CL"
per.max	NULL. Not needed when data.format="CL"
time.adjust	0. Thus age=1 in cohort=1 corresponds to period=1+1-1+0=1.
label	character. "loss BZ".

Author(s)

Bent Nielsen <[e-mail]> 8 Sep 2015 (18 Mar 2015)

Source

Tables 1,2 of Verrall, Nielsen and Jessen (2010).

References

Barnett G, Zehnwirth B (2000) Best estimates for reserves. Proc. Casualty Actuar. Soc. 87, 245–321.

Kuang D, Nielsen B, Nielsen JP (2011) Forecasting in an extended chain-ladder-type model Journal of Risk and Insurance 78, 345-359

See Also

General description of apc.data.list format.

Examples

#########################
##	It is convient to construct a data variable

data	<- data.loss.BZ()

##	To see the content of the data

data

#########################
#	Fit geometric chain-ladder model

apc.fit.table(data,"log.normal.response")

apc documentation built on Oct. 23, 2020, 6:17 p.m.