Methods for Function summary

Methods for function summary to calculate summary statistics from a "MultiChainLadder" object.

Usage

# S4 method for class 'MultiChainLadder'
summary(object, portfolio=NULL,...)

Arguments

object

object of class "MultiChainLadder"

portfolio

character strings specifying which triangles to be summed up as portfolio.

...

optional arguments to summary methods

Details

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.

Value

The summary function returns an object of class "MultiChainLadderSummary" that has the following slots:

Triangles

input triangles

FullTriangles

predicted triangles

S.E.Full

a list of prediction errors for each cell

S.E.Est.Full

a list of estimation errors for each cell

S.E.Proc.Full

a list of process errors for each cell

Ultimate

predicted ultimate losses for each triangle and portfolio

Latest

latest observed losses for each triangle and portfolio

IBNR

predicted IBNR for each triangle and portfolio

S.E.Ult

a matrix of prediction errors of ultimate losses for each triangle and portfolio

S.E.Est.Ult

a matrix of estimation errors of ultimate losses for each triangle and portfolio

S.E.Proc.Ult

a matrix of process errors of ultimate losses for each triangle and portfolio

report.summary

summary statistics for each triangle and portfolio

coefficients

estimated coefficients from systemfit. They are put into the matrix format for GMCL

coefCov

estimated variance-covariance matrix returned by systemfit

residCov

estimated residual covariance matrix returned by systemfit

rstandard

standardized residuals

fitted.values

fitted.values

residCor

residual correlation

model.summary

summary statistics for the cofficients including p-values

portfolio

how portfolio is calculated

Author

Wayne Zhang actuary_zhang@hotmail.com

See also

See Also MultiChainLadder

Examples

data(GenIns)
fit.bbmw=MultiChainLadder(list(GenIns),fit.method="OLS", mse.method="Independence")
summary(fit.bbmw)
#> $`Summary Statistics for Input Triangle`
#>           Latest Dev.To.Date   Ultimate       IBNR       S.E    CV
#> 1      3,901,463      1.0000  3,901,463          0         0 0.000
#> 2      5,339,085      0.9826  5,433,719     94,634    75,535 0.798
#> 3      4,909,315      0.9127  5,378,826    469,511   121,700 0.259
#> 4      4,588,268      0.8661  5,297,906    709,638   133,551 0.188
#> 5      3,873,311      0.7973  4,858,200    984,889   261,412 0.265
#> 6      3,691,712      0.7223  5,111,171  1,419,459   411,028 0.290
#> 7      3,483,130      0.6153  5,660,771  2,177,641   558,356 0.256
#> 8      2,864,498      0.4222  6,784,799  3,920,301   875,430 0.223
#> 9      1,363,294      0.2416  5,642,266  4,278,972   971,385 0.227
#> 10       344,014      0.0692  4,969,825  4,625,811 1,363,385 0.295
#> Total 34,358,090      0.6478 53,038,946 18,680,856 2,447,618 0.131
#>