tailFactor {BALD} | R Documentation |

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

`object` |
The object from which to plot the predicted tail factors and return tail factors for |

`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 |

`firstIsHalfReport` |
A logical value or |

`finalAttachment` |
An integer value must be at least 1. Default value is |

`plot` |
A logical value. If |

`expYearRange` |
Either a range of years (for example c(1995, 2006)) or one of the keywords “all” or “fullyObs”. |

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')`

.

Mainly called for the side effect of plotting.

`tailFactor("StandardAnnualAggLossDevModelOutput")`

`tailFactor("BreakAnnualAggLossDevModelOutput")`

rm(list=ls()) options(device.ask.default=FALSE) 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)[[1]])) 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]