AggregateDataPP {clmplus} | R Documentation |
Pre-process Run-Off Triangles
Description
Pre-process Run-Off Triangles.
Usage
AggregateDataPP(
cumulative.payments.triangle,
entries.weights = NULL,
eta = 1/2
)
Arguments
cumulative.payments.triangle |
triangle matrix or matrix array object, input triangle of cumulative payments.
|
entries.weights |
triangle matrix or matrix array model entries weights.
|
eta |
numeric , individual claims exposure in the cell, also known as lost exposure. It must be in the interval (0,1].
|
Value
An object of class AggregateDataPP
. Lists the following elements:
cumulative.payments.triangle |
triangle matrix object, input triangle of cumulative payments.
|
occurrance |
matrix array object, the occurrence derived from the input triangle.
|
exposure |
matrix array object, the exposure derived from the input triangle, under the eta claims arrival assumption.
|
incremental.payments.triangle |
triangle matrix object, incremental payments derived from the input.
|
fit.w |
matrix array object, the weights used during estimation.
|
J |
integer , Run-off triangle dimension.
|
diagonal |
numeric , cumulative payments last diagonal.
|
eta |
numeric , Expected time-to-event in the cell. I.e., lost exposure.
|
References
Pittarello, G., Hiabu, M., & Villegas, A. M. (2023). 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.
Examples
data(sifa.mtpl)
sifa.mtpl.rtt <- AggregateDataPP(cumulative.payments.triangle=sifa.mtpl)
[Package
clmplus version 1.0.0
Index]