permutedReserveThe function provides an overall summary of the output from the function
permuteReserve() (i.e., the summary of the object of the class
permutedReserve)
# S3 method for permutedReserve
summary(object, triangle.summary = FALSE, ...)Summary of the completed functional profiles (provided by one of the
functions parallelReserve() or mcReserve()) and the overall
reserve distribution obtained in terms of the permutation bootstrap -- the
function permuteReserve().
The output is a list with the following items:
a matrix with the row-specific summary of the completed
functional profiles (except the first fully developed profile---i.e., the first
row in the run-off triangle). The first column of the matrix (First)
gives the first origin payments; The second column (Latest) gives
the last available (cumulative) payments (i.e., values from the last running
diagonal in the run-off triangle); The third column (Dev.To.Date) gives
a relative proportion of the paid amount (Latest) with respect to the
estimated ultimate (Ultimate) given in the fourth column; The column
denoted as IBNR gives the estimated amount still left to pay (Incurred
But Not Reported); The sixth column provides the estimated standard errors
(S.E.) of IBNR obtained from the permutation bootstrap; The last column returns
the corresponding coefficients of variation (CV).
Table with the summary of the true/estimated reserve:
Paid amount represents the sum of the last running diagonal;
Estimated reserve gives the reserve estimate provided by one of the
estimation algorithm (PARALLAX, REACT, or MACRAME); True reserve is
given as a sum of the last column (if available, NA otherwise); Finally,
some Accuracy in terms of Reserve% is given as a percentage of the
estimated reserve with respect to the true reserve (see Maciak, Mizera, and
Pešta (2022) and Dev.To.Date gives the proportion of the overall
estimatd ultimate and the overall paid amount
Table with basic empirical characteristics of the overall reserve
distribution provided by the permutation bootstrap: Boot.Mean stands
for the empirical mean of the bootstrap distribution; Std.Er. gives the
corresponding standard error of the bootstrap distribution; BootCov%
stands for a percentage proportion between the standard error and the empirical
mean of the bootstrap distribution; Finally, BootVar.xxx provides the
estimated quantile of the bootstrap reserve distribution (0.995 by DEFAULT).
an object of the class permutedReserve -- i.e., the output
form the permuteReserve() functions
logical (FALSE by DEFAULT) indicating whether a
brief table with the empirical summary of the permutted run-off triangles (the first column,
the last running diagonal, and the ultimate amounts in particular) should be
printed in the output or not
not used
parallelReserve(), mcReserve(), permuteReserve()
data(CameronMutual)
summary(CameronMutual)
## summary for the point reserve prediction
summary(parallelReserve(CameronMutual))
## summary for the overall reserve distribution
summary(permuteReserve(parallelReserve(CameronMutual)))
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