FitDist-class {cascsim}

An S4 class to represent distribution fitting.

Description

An S4 class to represent distribution fitting.

Slots

observation

Raw data input containing loss sizes for severity analysis and number of losses for frequency analysis.

fitdata

Processed data for distribution fitting. Frequency data may be provided as occurrence dates. The class will transform them into frequency data before distribution fitting.

trend

Index object for detrending the data.

startDate

Start date of claim data used for distribution fitting. The trend Index should also start from the same date (year-month).

endDate

End date of claim data used for distribution fitting.

trail

Trial Distribution object to start fitting.

fitted

Fitted Distribution object.

reportLag

Report lag distribution to adjust frequency data.

iLag

Whether to adjust the frequency data with report lag distribution.

method

Distribution fitting method. Maximum likelihood estimation (mle), moment matching estimation(mme) and quantile matching estimation(qme) are available.

probs

A vector containing the percentiles to be matched if qme is used for fitting.

ifreq

A boolean indicating whether it is frequency data or severity data.

idate

A boolean indicating whether frequency data is provided as occurrence dates (TRUE) or number of occurrences (FALSE).

datelist

A vector containing occurrence dates. It could be a data field in a claim file.

freq

A character string indicating the frequency: "Annual" or "Monthly".

iDL

A boolean indicating whether deductible and limit is considered in distribution fitting.

limit

A vector containing the limit for each claim.

deductible

A vector containing the deductible for each claim.

p0

A number that is the probability of having a zero-amount claim after deductible.

dof

Degree of freedom.

psd

A vector containing the standard deviation of parameter estimation. It is only available for mle.

aic

Akaike information criterion.

bic

Bayesian information criterion.

chisq

Chi-Squared Test Statistic.

pchisq

p-value of Chi-Squared Test.

kstest

K-S Test Statistic. Only used for continuous distribution.

pkstest

p-value of K-S Test. Only used for continuous distribution.

soutput

Distribution fitting summary.