predict.clmplusmodel {clmplus}

Predict the Reserve using Chain Ladder Plus Models

Description

Predict the lower triangle with a clmplus model.

Usage

## S3 method for class 'clmplusmodel'
predict(
  object,
  gk.fc.model = "a",
  ckj.fc.model = "a",
  gk.order = c(1, 1, 0),
  ckj.order = c(0, 1, 0),
  forecasting_horizon = NULL,
  ...
)

Arguments

object

clmplusmodel, Model to predict from.

gk.fc.model

character, 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

character, 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

integer, order of the arima model with drift for the accident year effect extrapolation. Default to (1,1,0).

ckj.order

integer, order of the arima model with drift for the calendar year effect extrapolation. Default to (0,1,0).

forecasting_horizon

integer, between 1 and the triangle width. Calendar periods ahead for the predictions. Default predictions are to run-off.

...

Extra arguments to be passed to the predict function.

Value

Returns the following output:

reserve

numeric The reserve for each accident period.

ultimate_cost

numeric The ultimate cost for each accident period.

full_triangle

matrix array The complete run-off triangle of cumulative payments, it includes the (input) upper triangle and the predicted (output) lower triangle.

lower_triangle

matrix array The predicted lower triangle of cumulative payments.

development_factors_predicted

matrix array The predicted lower triangle of the extrapolated development factors.

apc_output

list The following output from the age-period-cohort representation: model.fit (fitStMoMo) age-period-cohort model fit. alphaij (matrix array) predicted claim development. lower_triangle_apc (matrix array) predicted lower triangle of cumulative payments in age-period-cohort form. development_factors_apc (matrix array) development factors in age-period-cohort representation.

References

Pittarello, Gabriele, Munir Hiabu, and Andrés M. Villegas. "Replicating and extending chain ladder via an age-period-cohort structure on the claim development in a run-off triangle." arXiv preprint arXiv:2301.03858 (2023).