Casualty Actuarial Society Individual Claim Simulator

Documentation for package ‘cascsim’ version 0.4

Help Pages

-- C --

CDFPlot	Plotting the CDF of data and fitted distribution
CDFPlot-method	Plotting the CDF of data and fitted distribution
ChiSqrTest	Chi-Squared Test
ChiSqrTest-method	Chi-Squared Test
claimdata	Sample Claim Data
claimFitting	Claim data fitting analysis at line/type/status level
claimFitting-method	Claim data fitting analysis at line/type/status level
claimSample	Claim simulation at line/type/status level
claimSample-method	Claim simulation at line/type/status level
claimSimulation	Claim simulation at line/type/status level
claimSimulation-method	Claim simulation at line/type/status level
ClaimType-class	An S4 class to represent a claim type.
copulaDataPlot	Experience data plotting.
copulaDataPlot-method	Experience data plotting.
copulaFit	Copula fitting
copulaFit-method	Copula fitting
copulaFitPlot	Visualization Copula fitting
copulaFitPlot-method	Visualization Copula fitting
CopulaObj-class	An S4 class to represent a copula object to model the correlation.
copulaPlot	Copula plotting. Only for 2 or 3 variables
copulaPlot-method	Copula plotting. Only for 2 or 3 variables
copulaSample	Copula sampling. It will generate correlated variables or percentiles when marginal distributions are not specified.
copulaSample-method	Copula sampling. It will generate correlated variables or percentiles when marginal distributions are not specified.

-- D --

dempirical	Cumulative probability function of empirical distribution using linear interpolation
Density	Density function.
Density-method	Density function.
DevFac-class	An S4 class to represent a loss development schedule.
Distribution-class	An S4 class to represent a distribution, either parametric or non-parametric.
doPlot	Plot function.
doPlot-method	Plot function.
doSample	Sampling from the distribution.
doSample-method	Sampling from the distribution.
dpareto	Moment function of Pareto Distribution (PDF: alpha*xm^alpha/x^(alpha+1))
dtbeta	Density function of Truncated Beta Distribution
dtempirical	Density function of truncated empirical distribution
dtexp	Density function of Truncated Exponential Distribution
dtgamma	Density function of Truncated Gamma Distribution
dtgeom	Density function of Truncated Geometric Distribution
dtlnorm	Density function of Truncated Lognormal Distribution
dtnbinom	Density function of Truncated Negative Binomial Distribution
dtnorm	Density function of Truncated Normal Distribution
dtpareto	Density function of Truncated Pareto Distribution
dtpois	Density function of Truncated Poisson Distribution
dtweibull	Density function of Truncated Weibull Distribution

-- E --

expectZeros

Get the expected P0 based on settlement/close year.

-- F --

FitDist-class	An S4 class to represent distribution fitting.
fitPlot	Compare the raw data and fitted distribution on density, CDF, Q-Q plot and P-P plot
fitPlot-method	Compare the raw data and fitted distribution on density, CDF, Q-Q plot and P-P plot

-- G --

getCopula	Get the R copula object.
getCopula-method	Get the R copula object.
getIndex	Retrieve index value based on dates.
getIndex-method	Retrieve index value based on dates.
getObservation	Get input data from an object.
getObservation-method	Get input data from an object.
getTrend	Get the trend index.
getTrend-method	Get the trend index.

-- I --

Index-class

An S4 class to represent a time index for frequency or severity distribution.

-- K --

KSTest	K-S Test
KSTest-method	K-S Test

-- M --

mpareto

Moment function of Pareto Distribution (PDF: alpha*xm^alpha/x^(alpha+1))

-- N --

nloglik

Negative Loglikelihood.

-- O --

observationPlot	Plotting the data for distribution fitting
observationPlot-method	Plotting the data for distribution fitting

-- P --

PDFPlot	Plotting the PDF of data and fitted distribution
PDFPlot-method	Plotting the PDF of data and fitted distribution
pempirical	Cumulative probability function of empirical distribution using linear interpolation
plotText	Plot text content
ppareto	Moment function of Pareto Distribution (PDF: alpha*xm^alpha/x^(alpha+1))
PPPlot	P-P Plot of data and fitted distribution
PPPlot-method	P-P Plot of data and fitted distribution
Probability	Probability function.
Probability-method	Probability function.
ptbeta	Density function of Truncated Beta Distribution
ptempirical	Density function of truncated empirical distribution
ptexp	Density function of Truncated Exponential Distribution
ptgamma	Density function of Truncated Gamma Distribution
ptgeom	Density function of Truncated Geometric Distribution
ptlnorm	Density function of Truncated Lognormal Distribution
ptnbinom	Density function of Truncated Negative Binomial Distribution
ptnorm	Density function of Truncated Normal Distribution
ptpareto	Density function of Truncated Pareto Distribution
ptpois	Density function of Truncated Poisson Distribution
ptweibull	Density function of Truncated Weibull Distribution

-- Q --

qempirical	Cumulative probability function of empirical distribution using linear interpolation
qpareto	Moment function of Pareto Distribution (PDF: alpha*xm^alpha/x^(alpha+1))
QQPlot	Q-Q Plot of data and fitted distribution
QQPlot-method	Q-Q Plot of data and fitted distribution
qtbeta	Density function of Truncated Beta Distribution
qtempirical	Density function of truncated empirical distribution
qtexp	Density function of Truncated Exponential Distribution
qtgamma	Density function of Truncated Gamma Distribution
qtgeom	Density function of Truncated Geometric Distribution
qtlnorm	Density function of Truncated Lognormal Distribution
qtnbinom	Density function of Truncated Negative Binomial Distribution
qtnorm	Density function of Truncated Normal Distribution
qtpareto	Density function of Truncated Pareto Distribution
qtpois	Density function of Truncated Poisson Distribution
qtweibull	Density function of Truncated Weibull Distribution
Quantile	Quantile function.
Quantile-method	Quantile function.

-- R --

rempirical	Cumulative probability function of empirical distribution using linear interpolation
rpareto	Moment function of Pareto Distribution (PDF: alpha*xm^alpha/x^(alpha+1))
rreopen	Simulate whether closed claims will be reopened or not.
rtbeta	Density function of Truncated Beta Distribution
rtempirical	Density function of truncated empirical distribution
rtexp	Density function of Truncated Exponential Distribution
rtgamma	Density function of Truncated Gamma Distribution
rtgeom	Density function of Truncated Geometric Distribution
rtlnorm	Density function of Truncated Lognormal Distribution
rtnbinom	Density function of Truncated Negative Binomial Distribution
rtnorm	Density function of Truncated Normal Distribution
rtpareto	Density function of Truncated Pareto Distribution
rtpois	Density function of Truncated Poisson Distribution
rtweibull	Density function of Truncated Weibull Distribution

-- S --

sampleKurtosis	Calculate the excess kurtosis of 10000 sampled values from the distribution.
sampleKurtosis-method	Calculate the excess kurtosis of 10000 sampled values from the distribution.
sampleMean	Calculate the mean of 100000 sampled values from the distribution.
sampleMean-method	Calculate the mean of 100000 sampled values from the distribution.
sampleSd	Calculate the standard deviation of 10000 sampled values from the distribution.
sampleSd-method	Calculate the standard deviation of 10000 sampled values from the distribution.
sampleSkew	Calculate the skewness of 10000 sampled values from the distribution.
sampleSkew-method	Calculate the skewness of 10000 sampled values from the distribution.
setAnnualizedRate-method	Set the annualized level rate to construct the index. Only used when tabulate == FALSE.
setAnnualizedRate<-	Set the annualized level rate to construct the index. Only used when tabulate == FALSE.
setAnnualizedRate<--method	Set the annualized level rate to construct the index. Only used when tabulate == FALSE.
setCopulaParam-method	Set copula parameters.
setCopulaParam<-	Set copula parameters.
setCopulaParam<--method	Set copula parameters.
setCopulaType-method	Set copula type.
setCopulaType<-	Set copula type.
setCopulaType<--method	Set copula type.
setDevFac	Set up an IBNER loss development schedule.
setDevFac-method	Set up an IBNER loss development schedule.
setDf-method	Set the degree of freedom for t Copula.
setDf<-	Set the degree of freedom for t Copula.
setDf<--method	Set the degree of freedom for t Copula.
setDimension-method	Set the dimension of the copula.
setDimension<-	Set the dimension of the copula.
setDimension<--method	Set the dimension of the copula.
setDispstr-method	Set parameter matrix format of Elliptical copula.
setDispstr<-	Set parameter matrix format of Elliptical copula.
setDispstr<--method	Set parameter matrix format of Elliptical copula.
setEmpirical-method	Set the list of values and corresponding probabilities (Pr(X<value) for continuous variable and Pr(X==value) for discrete variable). It is only used for empirical distribution.
setEmpirical<-	Set the list of values and corresponding probabilities (Pr(X<value) for continuous variable and Pr(X==value) for discrete variable). It is only used for empirical distribution.
setEmpirical<--method	Set the list of values and corresponding probabilities (Pr(X<value) for continuous variable and Pr(X==value) for discrete variable). It is only used for empirical distribution.
setFacModel-method	Determine whether the development factor is determined by a predictive model or a fixed schedule by development year
setFacModel<-	Determine whether the development factor is determined by a predictive model or a fixed schedule by development year
setFacModel<--method	Determine whether the development factor is determined by a predictive model or a fixed schedule by development year
setFitdata	Preparing the input data (observation) for distribution fitting, including detrending, translating occurrence dates to frequency data, etc.
setFitdata-method	Preparing the input data (observation) for distribution fitting, including detrending, translating occurrence dates to frequency data, etc.
setfitmethod-method	Set distribution fitting method.
setfitmethod<-	Set distribution fitting method.
setfitmethod<--method	Set distribution fitting method.
setFittedDist-method	Directly set the fitted distribution without fitting it to the data.
setFittedDist<-	Directly set the fitted distribution without fitting it to the data.
setFittedDist<--method	Directly set the fitted distribution without fitting it to the data.
setfreq-method	Set the data frequency.
setfreq<-	Set the data frequency.
setfreq<--method	Set the data frequency.
setFun-method	Set the model format/link function (identity/inverse/log/exponential). Only used when FacModel == TRUE.
setFun<-	Set the model format/link function (identity/inverse/log/exponential). Only used when FacModel == TRUE.
setFun<--method	Set the model format/link function (identity/inverse/log/exponential). Only used when FacModel == TRUE.
setID-method	setID Set the ID for an object
setID<-	setID Set the ID for an object
setID<--method	setID Set the ID for an object
setidate-method	Set whether occurrence dates will be used for frequency data.
setidate<-	Set whether occurrence dates will be used for frequency data.
setidate<--method	Set whether occurrence dates will be used for frequency data.
setifreq-method	Set the data type: frequency or severity/time lag.
setifreq<-	Set the data type: frequency or severity/time lag.
setifreq<--method	Set the data type: frequency or severity/time lag.
setIndex	Set up a time index for frequency or severity.
setIndex-method	Set up a time index for frequency or severity.
setMarginal-method	Set the marginal distributions of the copula.
setMarginal<-	Set the marginal distributions of the copula.
setMarginal<--method	Set the marginal distributions of the copula.
setMeanList-method	Set the year-to-year loss development factor.
setMeanList<-	Set the year-to-year loss development factor.
setMeanList<--method	Set the year-to-year loss development factor.
setMin	Set the minimum of the distribution. For example, the distribution of settlement lag for open claims
setMin-method	Set the minimum of the distribution. For example, the distribution of settlement lag for open claims
setMonthlyIndex-method	Set monthly index values.
setMonthlyIndex<-	Set monthly index values.
setMonthlyIndex<--method	Set monthly index values.
setObservation-method	Input the raw data.
setObservation<-	Input the raw data.
setObservation<--method	Input the raw data.
setParams-method	Set distribution parameters.
setParams<-	Set distribution parameters.
setParams<--method	Set distribution parameters.
setParas-method	Set the values of model parameters.
setParas<-	Set the values of model parameters.
setParas<--method	Set the values of model parameters.
setprobs-method	Set the percentiles to be matched. Only used when qme is chosen for fitting method.
setprobs<-	Set the percentiles to be matched. Only used when qme is chosen for fitting method.
setprobs<--method	Set the percentiles to be matched. Only used when qme is chosen for fitting method.
setRange-method	Set the min and max of the variable.
setRange<-	Set the min and max of the variable.
setRange<--method	Set the min and max of the variable.
setRectangle	Set up the rectangle based on simulated data.
setRectangle-method	Set up the rectangle based on simulated data.
setSeasonality-method	Set seasonality on a monthly basis.
setSeasonality<-	Set seasonality on a monthly basis.
setSeasonality<--method	Set seasonality on a monthly basis.
setStartDate-method	Set the start date for the claim simulation exercise
setStartDate<-	Set the start date for the claim simulation exercise
setStartDate<--method	Set the start date for the claim simulation exercise
setTabulate-method	Determine whether the index values are constructed from a constant rate or provided directly
setTabulate<-	Determine whether the index values are constructed from a constant rate or provided directly
setTabulate<--method	Determine whether the index values are constructed from a constant rate or provided directly
setTrend-method	Set the trend with an Index Object.
setTrend<-	Set the trend with an Index Object.
setTrend<--method	Set the trend with an Index Object.
setTrialDist-method	Distribution fitting and testing.
setTrialDist<-	Distribution fitting and testing.
setTrialDist<--method	Distribution fitting and testing.
setTrialDistErr-method	Distribution fitting and testing. Same as setTrialDist except for error tolerance.
setTrialDistErr<-	Distribution fitting and testing. Same as setTrialDist except for error tolerance.
setTrialDistErr<--method	Distribution fitting and testing. Same as setTrialDist except for error tolerance.
setTruncated-method	Set the indicator of truncated distribution.
setTruncated<-	Set the indicator of truncated distribution.
setTruncated<--method	Set the indicator of truncated distribution.
setUpperKeep	Set up the upper triangle for non-simulated data.
setUpperKeep-method	Set up the upper triangle for non-simulated data.
setUpperTriangle	Set up the upper triangle based on claim data.
setUpperTriangle-method	Set up the upper triangle based on claim data.
setVolList-method	Set the year-to-year loss development factor volatility.
setVolList<-	Set the year-to-year loss development factor volatility.
setVolList<--method	Set the year-to-year loss development factor volatility.
setXname-method	Set additional explanatory variable names.
setXname<-	Set additional explanatory variable names.
setXname<--method	Set additional explanatory variable names.
setYearlyIndex-method	Set yearly index values.
setYearlyIndex<-	Set yearly index values.
setYearlyIndex<--method	Set yearly index values.
shiftIndex	Shift monthly index with a new start date and replace the unknown index value with zero.
shiftIndex-method	Shift monthly index with a new start date and replace the unknown index value with zero.
simP0	Simulate whether claims will have zero payment.
simReport	Generate claim simulation result report in html
simReport-method	Generate claim simulation result report in html
simSummary	Claim simulation result summary
simSummary-method	Claim simulation result summary
simTriangle	Claim simulation result triangles
simTriangle-method	Claim simulation result triangles
Simulation-class	An S4 class to represent a simulation task.

-- T --

TEKurt	Calculate Theoretical Excessive Kurtosis of distribution. min and max are not applied
TEKurt-method	Calculate Theoretical Excessive Kurtosis of distribution. min and max are not applied
TMean	Calculate Theoretical Mean of distribution. min and max are not applied
TMean-method	Calculate Theoretical Mean of distribution. min and max are not applied
toDate	Convert US date mm/dd/yyyy to yyyy-mm-dd format
Triangle-class	An S4 class to represent a triangle or rectangle object.
truncate	Truncate a numeric vector
TSD	Calculate Theoretical Standard Deviation of distribution. min and max are not applied
TSD-method	Calculate Theoretical Standard Deviation of distribution. min and max are not applied
TSkewness	Calculate Theoretical Skewness of distribution. min and max are not applied
TSkewness-method	Calculate Theoretical Skewness of distribution. min and max are not applied

-- U --

ultiDevFac

Calculate ultimate development factor based on current development year, a mean development factor schedule and its volatility. It is used to simulate the ultimate loss for open claims.