permuteReserve {ProfileLadder} | R Documentation |
Permutation Bootstrap Reserve (PARALLAX, REACT, MACRAME)
Description
The function takes the output from the function parallelReserve()
or
mcReserve
and estimates the overall reserve distribution in terms of the
permutation bootstrap approach proposed in Maciak, Mizera, and Pešta (2022).
Usage
permuteReserve(object, B = 500, std = TRUE, quantile = 0.995)
Arguments
object |
an object of the class |
B |
number of permutations to be performed (DEFAULT |
std |
logical to indicate whether the run-off triangle should be
standardized by the first column increments (DEFAULT) or not ( |
quantile |
quantile level for the |
Value
An object of the class permutedReserve
which is a list with
the following elements:
eSummary |
numeric vector with four values summarizing the estimated reserve: Paid amount (i.e., the sum of the last observed diagonal in the given cumulative run-off triangle); Estimated ultimate (i.e., the sum of the last column in the completed cumulative triangle); Estimated reserve (i.e., the sum of the last column in the completed cumulative triangle minus the sum of the last observed diagonal); True reserve if a completed (true) run-off triangle is available |
pSummary |
numeric vector with four values summarizing the overall reserve
distribution: |
pReserves |
a numeric vector of the length |
pUltimates |
A matrix of the dimensions |
pLatest |
A matrix of the dimensions |
pLatestCum |
A matrix of the dimensions |
inputTriangle |
The input run-off triangle |
completed |
The completed run-off triangle by using one of the PARALLAX, REACT, or MACRAME estimation method |
trueComplete |
The true complete run-off triangle (if available) and |
info |
a numeric vector summarizing the bootstrap compuational efficiency:
In particular, the OS/Architecture type, the number of permutations ( |
References
Maciak, M., Mizera, I., and Pešta, M. (2022). Functional Profile Techniques for Claims Reserving. ASTIN Bulletin, 52(2), 449-482. DOI:10.1017/asb.2022.4
European Parliament and Council (2009). Directive 2009/138/EC of
the European Parliament and of the Council of 25 November 2009 on the taking-up
and pursuit of the business of Insurance and Reinsurance (Solvency II). Official
Journal of the European Union, 1–155.
https://data.europa.eu/eli/dir/2009/138/oj
See Also
parallelReserve()
, mcReserve()
, plot.permutedReserve()
Examples
## REACT algorithm and the permutation bootstrap reserve
data(CameronMutual)
output <- parallelReserve(CameronMutual, method = "react")
permuteReserve(output, B = 100)
## MACRAME algorithm with a pre-specified number of states
output <- mcReserve(CameronMutual, states = 5)
permuteReserve(output, B = 100)