plot.clark {ChainLadder} | R Documentation |
Function to plot the residuals of the Clark LDF and Cape Cod methods.
## S3 method for class 'clark' plot(x, ...)
x |
object resulting from a run of the ClarkLDF or ClarkCapeCod functions. |
... |
not used. |
If Clark's model is appropriate for the actual data, then the standardized residuals should appear as independent standard normal random variables. This function creates four plots of standardized residuals on a single page:
By origin
By age
By fitted value
Normal Q-Q plot with results of Shapiro-Wilk test
If the model is appropriate then there should not appear to be any trend in the standardized residuals or any systematic differences in the spread about the line y = 0. The Shapiro-Wilk p-value shown in the fourth plot gives an indication of how closely the standardized residuals can be considered "draws" from a standard normal random variable.
Daniel Murphy
Clark, David R., "LDF Curve-Fitting and Stochastic Reserving: A Maximum Likelihood Approach", Casualty Actuarial Society Forum, Fall, 2003
X <- GenIns Y <- ClarkLDF(GenIns, maxage=Inf, G="weibull") plot(Y) # One obvious outlier, shapiro test flunked X[4,4] <- NA # remove the outlier Z <- ClarkLDF(GenIns, maxage=Inf, G="weibull") plot(Z) # Q-Q plot looks good