clmplus.default {clmplus} | R Documentation |
Fit chain-ladder+ to reverse time triangles.
Description
This function allows to fit chain-ladder+ models to cumulative payments run-off triangles.
Usage
## Default S3 method:
clmplus(
RtTriangle,
hazard.model = NULL,
xc = NULL,
iter.max = 10000,
tolerance.max = 1e-06,
link = c("log", "logit"),
staticAgeFun = TRUE,
periodAgeFun = "NP",
cohortAgeFun = NULL,
constFun = function(ax, bx, kt, b0x, gc, wxt, ages) list(ax = ax, bx = bx, kt = kt, b0x
= b0x, gc = gc),
gk.fc.model = "a",
ckj.fc.model = "a",
gk.order = c(1, 1, 0),
ckj.order = c(0, 1, 0),
...
)
Arguments
RtTriangle |
RtTriangle object to be fitted. |
hazard.model |
hazard model supported from our package, must be provided as a string. The model can be choosen from:
|
xc |
xc constant parameter to be set for the m8 model. Default to NULL. |
iter.max |
maximum number of iterations for the Newton-Rhapson algorithm. It will be ignored for other fitting procedures. |
tolerance.max |
maximum tolerance of parameters difference for convergence for the Newton-Rhapson algorithm implementation.Ignored for other fitting procedures. |
link |
defines the link function and random component associated with
the mortality model. |
staticAgeFun |
logical value indicating if a static age function
|
periodAgeFun |
a list of length |
cohortAgeFun |
defines the cohort age modulating parameter
|
constFun |
function defining the identifiability constraints of the
model. It must be a function of the form
|
gk.fc.model |
model to forecast the cohort component for the last accident period. It can be either arima ('a') or linear model ('l'). Disregarded for models that do not have a cohort effect. |
ckj.fc.model |
model to forecast the calendar period effect. It can be either arima ('a') or linear model ('l'). Disregarded for models that do not have a period effect. |
gk.order |
order of the arima model with drift for the accident year effect extrapolation. Default to (1,1,0). |
ckj.order |
order of the arima model with drift for the calendar year effect extrapolation. Default to (0,1,0). |
... |
parameters to be passed to clmplus. |
Value
No return value, called as clmplus method default.
References
Hiabu, Munir. “On the relationship between classical chain ladder and granular reserving.” Scandinavian Actuarial Journal 2017 (2017): 708 - 729.