tailFactor {BALD} R Documentation

## A generic function to plot and/or return the predicted tail factors for a specific attachment point.

### Description

A generic function to plot and/or return the predicted tail factors for a specific attachment point.

### Arguments

 `object` The object from which to plot the predicted tail factors and return tail factors for all attachment points. `attachment` An integer value specifying the attachment point for the tail. Must be at least 1. See Details for more information. `useObservedValues` A logical value. If `TRUE`, observed values are substituted for predicted values whenever possible in the calculation. If `FALSE`, only predicted values are used. `firstIsHalfReport` A logical value or `NA`. See Details for more info. `finalAttachment` An integer value must be at least 1. Default value is `attachment`. A call to `tailFactor` will return (invisibly) a matrix of tail factors through this value. `plot` A logical value. If `TRUE`, the plot is generated and the statistics are returned; otherwise only the statistics are returned. `expYearRange` Either a range of years (for example c(1995, 2006)) or one of the keywords “all” or “fullyObs”.

### Details

The tail factor is the ratio of the estimated ultimate loss to cumulative loss at some point in development time. This is a generic function to allow for the retrieval and illustration the tail factor by exposure year.

Note on `firstIsHalfReport` and `attachment`: `firstIsHalfReport` refers to the first column of the triangle. For policy year triangles, the first column is often referred to as a “half-report”, the second column is called “first-report”, the third column is called “second-report”, etc. If `firstIsHalfReport=TRUE`, then `tailFactor` will assume the triangle is arranged in such a way that the first column is the “half-report” and `attachment=1` indicates that the charted tail factor attaches at the cumulative loss through the second column. If `firstIsHalfReport=FALSE`, then `attachment=1` indicates that the charted tail factor attaches at the cumulative loss through the first column. Since `attachment` must be coercible to an integer, it is impossible to plot half-to-ultimate tail factors; however, they are the first column in the returned matrix.

`firstIsHalfReport` can be `NA` (the default) if the exposure year type was specified to be one of “policy year” or “accident year” at the time the input object was constructed (see `makeStandardAnnualInput` or `makeBreakAnnualInput`). An exposure year type of “policy year” corresponds to `firstIsHalfReport=TRUE`, and an exposure year type of “accident year” corresponds to `firstIsHalfReport=FALSE`. Setting `firstIsHalfReport` to a non-missing value will override this default.

If `expYearRange` is “fullyObs”, then only exposure years with a non missing value in the first column will be plotted. See `vignette('BALD')`.

### Value

Mainly called for the side effect of plotting.

`tailFactor("StandardAnnualAggLossDevModelOutput")` `tailFactor("BreakAnnualAggLossDevModelOutput")`

### Examples

```rm(list=ls())
library(BALD)
data(IncrementalGeneralLiablityTriangle)
IncrementalGeneralLiablityTriangle <- as.matrix(IncrementalGeneralLiablityTriangle)
print(IncrementalGeneralLiablityTriangle)
data(PCE)
PCE <- as.matrix(PCE)[,1]
PCE.rate <- PCE[-1] / PCE[-length(PCE)] - 1
PCE.rate.length <- length(PCE.rate)
PCE.years <- as.integer(names(PCE.rate))
years.available <- PCE.years <= max(as.integer(
dimnames(IncrementalGeneralLiablityTriangle)[]))
PCE.rate <- PCE.rate[years.available]
PCE.rate.length <- length(PCE.rate)
standard.model.input <- makeStandardAnnualInput(
incremental.payments = IncrementalGeneralLiablityTriangle,
stoch.inflation.weight = 1,
non.stoch.inflation.weight = 0,
stoch.inflation.rate = PCE.rate,
exp.year.type = 'ay',
extra.dev.years=5,
use.skew.t=TRUE)
## Not run:
standard.model.output <- runLossDevModel(
standard.model.input,
burnIn=30.0E+3,
sampleSize=30.0E+3,
thin=10)
tailFactor(standard.model.output,10)

## End(Not run)```

[Package BALD version 1.0.0-3 Index]