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BALD (version 1.0.0-3)

Robust Loss Development Using MCMC

Description

Bayesian analysis of loss development on insurance triangles or 'BALD' is a Bayesian model of developing aggregate loss triangles in property casualty insurance. This actuarial model makes use of a heteroskedastic and skewed t-likelihood with endogenous degrees of freedom, employs model averaging by means of Reversible Jump MCMC, and accommodates a structural break in the path of the consumption of benefits. Further, the model is capable of incorporating expert information in the calendar year effect. In an accompanying vignette, this model is applied to two widely studied General Liability and Auto Bodily Injury Liability loss triangles. For a description of the methodology, see Frank A. Schmid (2010) .

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Version

Install

install.packages('BALD')

Monthly Downloads

33

Version

1.0.0-3

License

GPL (>= 3)

Maintainer

Can Wang

Last Published

October 22nd, 2018

Functions in BALD (1.0.0-3)

StandardAnnualAggLossDevModelInput-class

The final input class for models without a break.
IncrementalGeneralLiablityTriangle

An and example of an incremental incurred loss triangle.
StandardAnnualAggLossDevModelOutput-class

The final output class for all standard aggregate annual models.
consumptionPathTracePlot,StandardAnnualAggLossDevModelOutput-method

A method to generate the trace plots for select consumption path values.
consumptionPathTracePlot,BreakAnnualAggLossDevModelOutput-method

A method to generate the trace plots for select consumption path values.
StandardAnnualAggLossDevModelOutputWithZeros-class

The class to handle incremental payments of zero for the standard model.
exposureGrowth

A generic function to plot and/or return the posterior predicted exposure growth (corresponding to eta in the model).
firstYearInNewRegimeTracePlot,BreakAnnualAggLossDevModelOutput-method

A method to generate the trace plot for the posterior change point.
exposureGrowthAutoregressiveParameter,AnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior of the autoregressive parameter for the exposure growth for models in BALD.
accountForZeroPayments

A function to take a triangle estimated without considering zero payments, and account for the possibility of zero payments.
LossDevModelInput-class

The base input class for all models in BALD.
HPCE

Health Care price index for the United States.
autoregressiveParameter,AnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior of the autoregressive parameter for models in BALD.
QQPlot,AnnualAggLossDevModelOutput-method

A method to plot a Q-Q plot for models in the BALD package.
QQPlot

A generic function to plot a Q-Q plot for models in the BALD package.
calendarYearEffectErrors

A generic function to plot and/or return predicted and forecast calendar year effect errors for models in BALD.
calendarYearEffect

A generic function to plot and/or return the predicted and forecast calendar year effects for models in BALD.
NodeOutput-class

A class to hold JAGS output.
calendarYearEffectAutoregressiveParameter,AnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior of the autoregressive parameter for the calendar year effect for models in BALD.
consumptionPath,BreakAnnualAggLossDevModelOutput-method

A method to plot and/or return the estimated consumption path vs development year time for break models.
firstYearInNewRegimeTracePlot

A generic function to generate the trace plot for the posterior change point.
PCE

Personal Consumption Expenditure (PCE) for the United States.
LossDevModelOutput-class

The base output class for all models in BALD.
exposureGrowthTracePlot

A generic function to generate the trace plots for select exposure growth rates.
finalCumulativeDiff,AnnualAggLossDevModelOutput-method

A method to plot and/or return the difference between final actual and predicted cumulative payments.
getJagsInits,StandardAnnualLossDevModelInput-method

A method to collect all the needed initial values unique to the standard model.
autoregressiveParameter

A generic function to plot and/or return the posterior of the autoregressive parameter for models in BALD.
calculateProbOfPayment

A function to calculate an empirical vector of the probability of payment.
getJagsInits

A method to retrieve initial values for a JAGS model.
degreesOfFreedom

A generic function to plot and/or return the posterior of the degrees of freedom for the Student-t in models in BALD.
gompertzParameters

A generic function to plot and/or return the posterior of the parameters for the gompertz curve which describes the probability of payment.
consumptionPath,StandardAnnualAggLossDevModelOutput-method

A method to plot and/or return the estimated consumption path vs development year time for standard models.
makeBreakAnnualInput

Create an Object of class BreakAnnualAggLossDevModelInput.
calendarYearEffect,AnnualAggLossDevModelOutput-method

A method to plot and/or return predicted and forecast calendar year effects for models in BALD.
consumptionPath

A generic function to plot and/or return the estimated consumption path vs development year time.
calendarYearEffectErrorTracePlot

A generic function to generate the trace plots for select calendar year effect errors.
dot-onLoad-lossDev

Intialize the Namespace.
exposureGrowthAutoregressiveParameter

A generic function to plot and/or return the posterior of the autoregressive parameter for the exposure growth for models in BALD.
lossDevOptions

Options for BALD.
MCPI

Medical Care price index for the United States.
calendarYearEffectAutoregressiveParameter

A generic function to plot and/or return the posterior of the autoregressive parameter for the calendar year effect for models in BALD.
calendarYearEffectErrorTracePlot,AnnualAggLossDevModelOutput-method

A method to generate the trace plots for select calendar year effect errors.
exposureGrowthTracePlot,AnnualAggLossDevModelOutput-method

A method to generate the trace plots for select exposure growth rates.
consumptionPathTracePlot

A generic function to generate the trace plots for select consumption path values.
finalCumulativeDiff,AnnualAggLossDevModelOutputWithZeros-method

A method to plot and/or return the difference between final actual and predicted cumulative payments.
finalCumulativeDiff

A generic function to plot and/or return the difference between final actual and predicted cumulative payments.
cumulate

A function to cumulate a triangle.
meanExposureGrowth

A generic function to plot and/or return the posterior of the mean exposure growth for models in BALD.
calendarYearEffectErrors,AnnualAggLossDevModelOutput-method

A method to plot and/or return predicted and forecast calendar year effect errors for models in BALD.
makeStandardAnnualInput

Create an Object of class StandardAnnualAggLossDevModelInput.
getJagsData,StandardAnnualLossDevModelInput-method

A method to collect all the needed model input specific to the standard model.
estimate.priors

A function to estimate priors for the gompertz curve.
firstYearInNewRegime,BreakAnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior change point.
getJagsData

A method to retrieve data for a JAGS model.
lossDevelopmentFactors,AnnualAggLossDevModelOutput-method

A method to plot and/or return a table of predicted age-to-age loss development factors (or link ratios).
lossDevelopmentFactors

A generic function to plot and/or return a table of predicted age-to-age loss development factors (or link ratios).
exposureGrowth,AnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior predicted exposure growth (corresponding to eta in the model).
mcmcACF

A generic function to plot autocorrelations found in the MCMC samples for select parameters.
decumulate

A function to decumulate a triangle.
getJagsInits,AnnualLossDevModelInput-method

A method to collect all the needed initial values common to both the standard model and the break model.
firstYearInNewRegime

A generic function to plot and/or return the posterior change point.
getJagsInits,BreakAnnualLossDevModelInput-method

A method to collect all the needed model initial values unique to the break model.
getModelOutputNodes,LossDevModelOutput-method

A method to determine which JAGS nodes the output object is expecting.
getModelOutputNodes

A method to determine which JAGS nodes the output object is expecting.
gompertz

The gompertz function.
mutableState

The Packages Mutable State.
degreesOfFreedom,AnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior of the degrees of freedom for the Student-t in models in BALD.
plot.top.bottom

A function to plot a top and bottom graph on the same chart.
plot.density.and.or.trace

A rather generic function to plot diagnostics for a single node (a one-dimensional node or a single slot from a multi-dimensional node).
numberOfKnots,BreakAnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior number of knots.
newNodeOutput

A method to construct new object of type NodeOutput.
meanExposureGrowth,AnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior of the mean exposure growth for models in BALD.
plot.top.middle.bottom

A function to plot a top, middle, and bottom graph on the same chart.
get.color

A function to get color values.
rateOfDecayTracePlot,BreakAnnualAggLossDevModelOutput-method

A method to generate the trace plots for select rate of decay values.
getExposureYearLabel

A function to return a "nice" character string for the exposure year label in charts.
rateOfDecayTracePlot,StandardAnnualAggLossDevModelOutput-method

A method to generate the trace plots for select rate of decay values.
runLossDevModel

A generic function to run models in BALD.
plot.trace.plots

A rather generic function to plot (multiple) trace plots in one call on one graph.
getJagsData,AnnualLossDevModelInput-method

A method to create all the needed JAGS input common to both the standard model and the break model.
scaleParameter,AnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior of the scale parameter for the Student-t measurement equation for models in BALD.
stochasticInflationStationaryMean,AnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior of the stochastic inflation stationary mean for models in BALD.
getPaymentNoPaymentMatrix

A function to turn a matrix of incremental payments into zero or ones depending upon whether a payment is positive.
stochasticInflationRhoParameter

A generic function to plot and/or return the posterior of the stochastic inflation rho parameter for models in BALD.
rateOfDecay,StandardAnnualAggLossDevModelOutput-method

A method to plot and/or return the esimtated rate of decay vs development year time for standard models.
getNonMissingIndexes

A function to return the index non-missing values of a 2d container.
predictedPayments

A generic function to plot predicted vs actual payments for models from the BALD package.
mcmcACF,BreakAnnualAggLossDevModelOutput-method

A method to plot autocorrelations found in the MCMC samples for select parameters.
mcmcACF,StandardAnnualAggLossDevModelOutput-method

A method to plot autocorrelations found in the MCMC samples for select parameters.
tailFactor,BreakAnnualAggLossDevModelOutputWithZeros-method

A method to plot and/or return the predicted tail factors for a specific attachment point.
getJagsData,BreakAnnualLossDevModelInput-method

A method to collect all the needed model input specific to the break model.
probablityOfPayment,AnnualAggLossDevModelOutputWithZeros-method

A method to plot the probability of a payment.
scaleParameter

A generic function to plot and/or return the posterior of the scale parameter for the Student-t measurement equation for models in BALD.
rateOfDecay

A generic function to plot and/or return the esimtated rate of decay vs development year time.
getTriDim,AnnualAggLossDevModelInput-method

A method to get the dimension of the observed triangle.
getTriDim

A generic function to get the dimension of the observed triangle.
gompertzParameters,AnnualAggLossDevModelOutputWithZeros-method

A method to plot and/or return the posterior of the parameters for the gompertz curve which describes the probability of payment.
numberOfKnots,StandardAnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior number of knots.
triResi,AnnualAggLossDevModelOutput-method

A method to plot and/or return residuals for models in the BALD package.
triResi

A generic function to plot and/or return residuals for models in the BALD package.
numberOfKnots

A generic function to plot and/or return the posterior number of knots.
skewnessParameter,AnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior of the skewness parameter for models in BALD.
setGenericVerif

A Safe Version of setGeneric.
stochasticInflation

A generic function to plot and/or return predicted and forecast stochastic inflation rates for models in BALD.
myLibPath

Installation Library of the Package.
myPkgName

Current Name of the Package.
skewnessParameter

A generic function to plot and/or return the posterior of the skewness parameter for models in BALD.
tailFactor,StandardAnnualAggLossDevModelOutput-method

A method to plot and/or return the predicted tail factors for a specific attachment point.
stochasticInflationRhoParameter,AnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior of the stochastic inflation rho parameter for models in BALD.
probablityOfPayment

A generic function to plot the probability of a payment.
standardDeviationOfCalendarYearEffect

A generic function to plot and/or return the posterior of the standard deviation of the calendar year effect for models in BALD.
predictedPayments,AnnualAggLossDevModelOutput-method

A method to plot predicted vs actual payments for models from the BALD package.
predictedPayments,AnnualAggLossDevModelOutputWithZeros-method

A method to plot predicted vs actual payments for models from the BALD package.
rateOfDecay,BreakAnnualAggLossDevModelOutput-method

A method to plot and/or return the esimtated rate of decay vs development year time for break models.
standardDeviationOfExposureGrowth,AnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior of the standard deviation of rhe exposure growth rate for models in BALD.
rateOfDecayTracePlot

A generic function to plot the trace plots for select rate of decay values.
tailFactor,StandardAnnualAggLossDevModelOutputWithZeros-method

A method to plot and/or return the predicted tail factors for a specific attachment point.
runLossDevModel,LossDevModelInput-method

A method to run models in BALD.
slot,NodeOutput,character-method

A method to override the behavoir of the function slot.
standardDeviationForScaleInnovation

A generic function to plot and/or return the posterior of the standard deviation for the innovation in the scale parameter for models in BALD.
standardDeviationForScaleInnovation,AnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior of the standard deviation for the innovation in the scale parameter for models in BALD.
standardDeviationOfCalendarYearEffect,AnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior of the standard deviation of the calendar year effect for models in BALD.
tailFactor

A generic function to plot and/or return the predicted tail factors for a specific attachment point.
standardDeviationOfExposureGrowth

A generic function to plot and/or return the posterior of the standard deviation of the exposure growth rate for models in BALD.
standardDeviationVsDevelopmentTime

A generic function to plot and/or return the posterior estimated standard deviation by development year.
standardDeviationVsDevelopmentTime,AnnualAggLossDevModelOutput-method

A method to plot and/or return the posterior estimated standard deviation by development year.
stochasticInflation,AnnualAggLossDevModelOutput-method

A method to plot and/or return predicted and forecast stochastic inflation rates for models in BALD.
stochasticInflationStationaryMean

A generic function to plot and/or return the posterior of the stochastic inflation stationary mean for models in BALD.
tailFactor,BreakAnnualAggLossDevModelOutput-method

A method to plot and/or return the predicted tail factors for a specific attachment point.
AnnualAggLossDevModelInput-class

The base class for all aggregate models.
AnnualAggLossDevModelOutput-class

The base output class for all aggregate annual models.
CumulativeAutoBodilyInjuryTriangle

An and example of a cumulative loss triangle.
BreakAnnualAggLossDevModelOutputWithZeros-class

The class to handle incremental payments of zero for the break model.
BreakAnnualAggLossDevModelInput-class

The final input class for models with a break.
BreakAnnualAggLossDevModelOutput-class

The final output class for all standard aggregate annual models.
CPI

Consumer price index (CPI-U) for the United States.
AnnualAggLossDevModelOutputWithZeros-class

The parent of StandardAnnualAggLossDevModelOutputWithZeros and BreakAnnualAggLossDevModelOutputWithZeros.
BALD

A package for robust stochastic loss development.