predict.TriangleModel {ChainLadder}R Documentation

Prediction of a claims triangle

Description

The function is internally used by MackChainLadder to forecast future claims.

Usage

## S3 method for class 'TriangleModel':
predict(object,...)

Arguments

object a list with two items: Models, Triangle
Models
list of linear models for each development period
Triangle
input triangle to forecast
... not in use

Value

FullTriangle forecasted claims triangle

Author(s)

Markus Gesmann

See Also

See Also MackChainLadder

Examples


 RAA    
 MCL=MackChainLadder(RAA)
 MCL
 plot(MCL)
 MCL[["Models"]][[1]]   # Model for first development period
 summary( MCL[["Models"]][[1]]) # Look at the model stats
 op=par(mfrow=c(2,2)) # plot residuals
   plot( MCL[["Models"]][[1]])
 par(op)

 # Let's include an intercept in our model
 newModel <- update(MCL[["Models"]][[1]], y ~ x+1, 
              weights=1/MCL[["Triangle"]][1:9,1],
              data=data.frame(x=MCL[["Triangle"]][1:9,1], 
                              y=MCL[["Triangle"]][1:9,2])
               ) 

# view the new model
 summary(newModel)
 op=par(mfrow=c(2,2)) 
   plot( newModel )
 par(op)

 # change the model for dev. period one to the newModel
 MCL2=MCL
 MCL2[["Models"]][[1]] = newModel
 predict(MCL2) # predict the full triangle with the new model 
 #(only the last origin year will be affected)

 MCL2[["FullTriangle"]] <-  predict(MCL2)
 MCL2[["FullTriangle"]] 
 MCL2   # Std. Errors have not been re-estimated!
 # plot the res
 
 plot(MCL2, title="Change MCL Model")
 

[Package ChainLadder version 0.1.2-11 Index]