rateOfDecayTracePlot,BreakAnnualAggLossDevModelOutput-method

The object of type <code>BreakAnnualAggLossDevModelOutput</code> from which to generate the trace plots.

object

A numeric vector indicating for which elements to plot the trace. Valid values are 2 through the number of columns in the observed triangle. If NULL, values are selected automatically.

elements

A logical value indicating whether to plot the trace for the pre-break rate(s) of decay or the post-break rate(s) of decay.

preBreak

Additional arguments used by other methods. Not utilized by this method.

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

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) <doi:10.2139/ssrn.1501706>.

rateOfDecayTracePlot,BreakAnnualAggLossDevModelOutput-method: A method to generate the trace plots for select rate of decay values.

Description

Arguments

Value

See Also