MultiChainLadder-class {ChainLadder} | R Documentation |

This class includes the first and second moment estimation result using the multivariate reserving methods in chain-ladder. Several primitive methods and statistical methods are also created to facilitate further analysis.

Objects can be created by calls of the form `new("MultiChainLadder", ...)`

, or they could also be a result of calls from `MultiChainLadder`

or `JoinFitMse`

.

`model`

:Object of class

`"character"`

. Either "MCL" or "GMCL".`Triangles`

:Object of class

`"triangles"`

. Input triangles.`models`

:Object of class

`"list"`

. Fitted regression models using`systemfit`

.`coefficients`

:Object of class

`"list"`

. Estimated regression coefficients.`coefCov`

:Object of class

`"list"`

. Estimated variance-covariance matrix of coefficients.`residCov`

:Object of class

`"list"`

. Estimated residual covariance matrix.`fit.method`

:Object of class

`"character"`

. Could be values of "SUR" or "OLS".`delta`

:Object of class

`"numeric"`

. Parameter for weights.`int`

:Object of class

`"NullNum"`

. Indicator of which periods have intercepts.`mse.ay`

:Object of class

`"matrix"`

. Conditional mse for each accident year.`mse.ay.est`

:Object of class

`"matrix"`

. Conditional estimation mse for each accident year.`mse.ay.proc`

:Object of class

`"matrix"`

. Conditional process mse for each accident year.`mse.total`

:Object of class

`"matrix"`

. Conditional mse for aggregated accident years.`mse.total.est`

:Object of class

`"matrix"`

. Conditional estimation mse for aggregated accident years.`mse.total.proc`

:Object of class

`"matrix"`

. Conditional process mse for aggregated accident years.`FullTriangles`

:Object of class

`"triangles"`

. Completed triangles.`restrict.regMat`

:Object of class

`"NullList"`

Class `"MultiChainLadderFit"`

, directly.
Class `"MultiChainLadderMse"`

, directly.

- $
`signature(x = "MultiChainLadder")`

: Method for primitive function`"$"`

. It extracts a slot of`x`

with a specified slot name, just as in list.- [[
`signature(x = "MultiChainLadder", i = "numeric", j = "missing")`

: Method for primitive function`"[["`

. It extracts the i-th slot of a`"MultiChainLadder"`

object, just as in list.`i`

could be a vector.- [[
`signature(x = "MultiChainLadder", i = "character", j = "missing")`

: Method for primitive function`"[["`

. It extracts the slots of a`"MultiChainLadder"`

object with names in`i`

, just as in list.`i`

could be a vector.- coef
`signature(object = "MultiChainLadder")`

: Method for function`coef`

, to extract the estimated development matrix. The output is a list.- fitted
`signature(object = "MultiChainLadder")`

: Method for function`fitted`

, to calculate the fitted values in the original triangles. Note that the return value is a list of fitted valued based on the original scale, not the model scale which is first divided by*Y_{i,k}^{δ/2}*.- names
`signature(x = "MultiChainLadder")`

: Method for function`names`

, which returns the slot names of a`"MultiChainLadder"`

object.- plot
`signature(x = "MultiChainLadder", y = "missing")`

: See`plot,MultiChainLadder,missing-method`

.- residCov
`signature(object = "MultiChainLadder")`

: S4 generic function and method to extract residual covariance from a`"MultiChainLadder"`

object.- residCor
`signature(object = "MultiChainLadder")`

: S4 generic function and method to extract residual correlation from a`"MultiChainLadder"`

object.- residuals
`signature(object = "MultiChainLadder")`

: Method for function`residuals`

, to extract residuals from a system of regression equations. These residuals are based on model scale, and will not be equivalent to those on the original scale if*δ*is not set to be 0. One should use`rstandard`

instead, which is independent of the scale.- resid
`signature(object = "MultiChainLadder")`

: Same as`residuals`

.- rstandard
`signature(model = "MultiChainLadder")`

: S4 generic function and method to extract standardized residuals from a`"MultiChainLadder"`

object.- show
`signature(object = "MultiChainLadder")`

: Method for`show`

.- summary
`signature(object = "MultiChainLadder")`

: See`summary,MultiChainLadder-method`

.- vcov
`signature(object = "MultiChainLadder")`

: Method for function`vcov`

, to extract the variance-covariance matrix of a`"MultiChainLadder"`

object. Note that the result is a list of`Bcov`

, that is the variance-covariance matrix of the vectorized*B*.

Wayne Zhang actuary_zhang@hotmail.com

See also `MultiChainLadder`

,`summary,MultiChainLadder-method`

and `plot,MultiChainLadder,missing-method`

.

# example for class "MultiChainLadder" data(liab) fit.liab <- MultiChainLadder(Triangles = liab) fit.liab names(fit.liab) fit.liab[[1]] fit.liab$model fit.liab@model do.call("rbind",coef(fit.liab)) vcov(fit.liab)[[1]] residCov(fit.liab)[[1]] head(do.call("rbind",rstandard(fit.liab)))

[Package *ChainLadder* version 0.2.12 Index]