All functions
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A0
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A0 is a 10 x 10 matrix representing the upper triangle of a actuarial
development triangle used by Roger Hayne to illustrate the stochastic
loss reserving software in |
B0
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B0 is a 10 x 10 matrix representing the upper triangle of a actuarial
development triangle used by Roger Hayne to illustrate the stochastic
loss reserving software in |
berquist()
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Create list for Berquist-Sherman incremental severity model |
capecod()
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Create list for Kramer Chain Ladder parmaterization model
g - Assumed loss emergence model, a function of the parameters a.
Note g must be matrix-valued with size rows and size columns
g itself
Basic design is for g to be a function of a single parameter vector, however
in the simulations it is necessary to work on a matrix of parameters, one
row for each simulated parameter, so g_obj must be flexible enough to handle
both.
Here g_obj is nonlinear and based on the Kramer Chain Ladder parmaterization |
chain()
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Create list for Cape Cod model |
dnom
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dnom is count forcast for the B0 development triangle; the exposures
(claims) used in the denominator
#' @format integer vector of length 10
- B0
count forcast for the B0 development triangle.
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get_incremental_avg_matrix()
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Calculate incremental average matrix |
hoerl()
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Create list for Generalized Hoerl Curve Model with trend
g itself
Basic design is for g to be a function of a single parameter vector, however
in the simulations it is necessary to work on a matrix of parameters, one
row for each simulated parameter, so g_obj must be flexible enough to handle
both.
Here g_obj is Wright's operational time model with trend added |
make_gradient_of_objective()
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Make Gradient of the objective function |
make_log_hessian()
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Make Hessian of the objective function |
make_negative_log_likelihood()
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Make Negative Loglikelihood Function to be Minimized |
model_description()
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Get the long description of a model |
table_1_triangle
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table_1_triangle is the development triangle from the reference article |
wright()
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Create list for Generalized Hoerl Curve with individual accident year levels
(Wright's) |