simulate_cdf

Generates sample numbers at random from any probability distribution
given its cumulative distribution function. Pre-defined distribution
functions such as <code>pnorm</code> are supported. 
See <a href="https://en.wikipedia.org/wiki/Inverse_transform_sampling">here</a>
for the algorithm.

Creation of an individual claims simulator which generates various
features of non-life insurance claims. An initial set of test parameters,
designed to mirror the experience of an Auto Liability portfolio, were set
up and applied by default to generate a realistic test data set of
individual claims (see vignette). The simulated data set then allows
practitioners to back-test the validity of various reserving models and to
prove and/or disprove certain actuarial assumptions made in claims
modelling. The distributional assumptions used to generate this data set can
be easily modified by users to match their experiences. Reference: Avanzi B,
Taylor G, Wang M, Wong B (2020) "SynthETIC: an individual insurance claim
simulator with feature control" <arXiv:2008.05693>.

Melantha Wang

SynthETIC

Synthetic Experience Tracking Insurance Claims

Benjamin Avanzi

William Ho

Greg Taylor

Bernard Wong

simulate_cdf function

<dl><dt>n</dt>
<dd>number of observations.</dd>
<dt>cdf</dt>
<dd>cumulative distribution function to be sampled from.</dd>
<dt>range</dt>
<dd>support of the given <code>cdf</code>.</dd>
<dt>...</dt>
<dd>other arguments/parameters to be passed onto <code>cdf</code>.</dd></dl>

Arguments

Generates sample numbers at random from any probability distribution
given its cumulative distribution function. Pre-defined distribution
functions such as <code>pnorm</code> are supported. 
See <a href='https://en.wikipedia.org/wiki/Inverse_transform_sampling'>here</a>
for the algorithm.

Inverse Tranform Sampling — simulate_cdf

<dl>

<dt>n</dt>
<dd>number of observations.</dd>


<dt>cdf</dt>
<dd>cumulative distribution function to be sampled from.</dd>


<dt>range</dt>
<dd>support of the given <code>cdf</code>.</dd>


<dt>...</dt>
<dd>other arguments/parameters to be passed onto <code>cdf</code>.</dd>

</dl>

simulate_cdf: Inverse Tranform Sampling

Description

Usage

Arguments

Examples