dcl.boot {DCL} | R Documentation |
Bootstrap distribution: the full cashflow
Description
Provide the distribution of the IBNR, RBNS and total (RBNS+IBRN) reserves by calendar years and rows using bootstrapping.
Usage
dcl.boot( dcl.par , sigma2 , Ntriangle , boot.type = 2 , B = 999 ,
Tail = TRUE , summ.by = "diag" , Tables = TRUE , num.dec = 2 , n.cal = NA)
Arguments
dcl.par |
A list object with the estimated parameters: the value returned by the functions |
sigma2 |
Optional. The variance of the individual payments in the first underwriting period. |
Ntriangle |
The counts data triangle: incremental number of reported claims. It should be a matrix with the observed counts located in the upper triangle and the lower triangle consisting in missing or zero values. It should be the same triangle used to get the value passed by the argument |
boot.type |
Choose between values 1, to provide only the variance process, or 2 (default), to take into account the uncertainty of the parameters. |
B |
The number of simulations in the bootstrap algorithm. The defaul value is 999. |
Tail |
Logical. If |
summ.by |
A character value such as |
Tables |
Logical. If |
num.dec |
Number of decimal places used to report numbers in the tables. Used only if |
n.cal |
Integer specifying the number of most recent calendars which will be used to calculate the development factors. By default |
Details
If the calculated severity variance using the function dcl.estimation
is not a valid estimate then it is recommended to provide directly this value through the argument sigma2
. It can be calculated using the function var
applied to a pilot sample of individual payments observed in the first underwriting period.
Value
array.rbns.boot |
An array with dimensions (m,2m-1,B) (m being the dimension of the input triangles in DCL). Each |
Mat.rbns |
A matrix with B rows and 2m columns. Each |
array.ibnr.boot |
An array with dimensions (m,2m-1,B) (m being the dimension of the input triangles in DCL). Each |
Mat.ibnr |
A matrix with B rows and 2m columns. Each |
Mat.total |
A matrix with B rows and 2m columns. Each |
summ.rbns |
A dataframe with the summary of the RBNS distribution. Only if |
summ.ibnr |
A dataframe with the summary of the IBNR distribution. Only if |
summ.total |
A dataframe with the summary of the total(=RBNS+IBNR) distribution. Only if |
Note
If boot.type=2
the function will take some time to perform the calculations. It increases with the dimension of the triangles and the specified number of simulations B
.
Author(s)
M.D. Martinez-Miranda, J.P. Nielsen and R. Verrall
References
Martinez-Miranda, M.D., Nielsen, J.P. and Verrall, R. (2012) Double Chain Ladder. Astin Bulletin, 42/1, 59-76.
Martinez-Miranda, M.D., Nielsen, J.P. and Verrall, R. (2013) Double Chain Ladder and Bornhuetter-Ferguson. North Americal Actuarial Journal.
See Also
Examples
# Results described in the data application by Martinez-Miranda, Nielsen and Verrall (2012)
data(NtriangleDCL)
data(XtriangleDCL)
# Estimation of the DCL parameters
est<-dcl.estimation(XtriangleDCL,NtriangleDCL)
# Full cashflow considering the tail (only the variance process)
# Below only B=200 simulations to be faster in the example
boot1<-dcl.boot(dcl.par=est,Ntriangle=NtriangleDCL,boot.type=1,B=200)
Plot.cashflow(boot1)
# Full cashflow with tail and taking into account the parameters uncertainty
# and B=999 simulations. Do not run it unless you can wait about one minute
# boot2<-dcl.boot(dcl.par=est,Ntriangle=NtriangleDCL,boot.type=2)
# Plot.cashflow(boot2)