ultiDevFac {cascsim}

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.

Description

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.

Usage

ultiDevFac(Years, meanDevFac, sdDevFac = rep(0, length(meanDevFac)),
  distType = "normal")

Arguments

Years

Include two columns: Current development year and Settlement Year

meanDevFac

A vector that contains the expected development factor schedule for Normal distribution. It is mu for Lognormal distribution and shape for Gamma distribution.

sdDevFac

A vector that contains the standard deviation of expected development factor schedule for Normal distribution. It is sigma for Lognormal distribution and scale for Gamma distribution.

distType

distribution type for development factor. It can be "normal", "lognormal" or "gamma".

Examples

meanfac<-c(1.1,1.08,1.05,1.03,1.01,1)
volfac<-rep(0.02,6)
years<-matrix(c(1:6),3,2)
ultiDevFac(years,meanfac,volfac)