Methods for function summary
to calculate summary statistics from a "MultiChainLadder" object.
# S4 method for MultiChainLadder
summary(object, portfolio=NULL,...)
The summary
function returns an object of class "MultiChainLadderSummary" that has the following slots:
input triangles
predicted triangles
a list of prediction errors for each cell
a list of estimation errors for each cell
a list of process errors for each cell
predicted ultimate losses for each triangle and portfolio
latest observed losses for each triangle and portfolio
predicted IBNR for each triangle and portfolio
a matrix of prediction errors of ultimate losses for each triangle and portfolio
a matrix of estimation errors of ultimate losses for each triangle and portfolio
a matrix of process errors of ultimate losses for each triangle and portfolio
summary statistics for each triangle and portfolio
estimated coefficients from systemfit
. They are put into the matrix format for GMCL
estimated variance-covariance matrix returned by systemfit
estimated residual covariance matrix returned by systemfit
standardized residuals
fitted.values
residual correlation
summary statistics for the cofficients including p-values
how portfolio is calculated
object of class "MultiChainLadder"
character strings specifying which triangles to be summed up as portfolio.
optional arguments to summary
methods
Wayne Zhang actuary_zhang@hotmail.com
summary
calculations the summary statistics for each triangle and the whole portfolio from portfolio
. portfolio
defaults to the sum of all input triangles. It can also be specified as "i+j" format, which means the sum of the i-th and j-th triangle as portfolio. For example, "1+3"
means the sum of the first and third triangle as portfolio.
See Also MultiChainLadder
data(GenIns)
fit.bbmw=MultiChainLadder(list(GenIns),fit.method="OLS", mse.method="Independence")
summary(fit.bbmw)
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