Method to fit Chain Ladder plus models to AggregateDataPP objects.
# S3 method for AggregateDataPP
clmplus(
AggregateDataPP,
hazard.model = NULL,
link = c("log", "logit"),
staticAgeFun = TRUE,
periodAgeFun = "NP",
cohortAgeFun = NULL,
effect_log_scale = TRUE,
constFun = function(ax, bx, kt, b0x, gc, wxt, ages) list(ax = ax, bx = bx, kt = kt, b0x
= b0x, gc = gc),
...
)An object of class clmplusmodel. A list with the following elements:
fitStMoMo object, specified hazard model fit from StMoMo.
list object. A list containing the following model inputs in age-period-cohort notation: J (integer) Run-off triangle dimension. eta (numeric) Expected time-to-event in the cell. I.e., lost exposure.
diagonal (numeric) Cumulative payments last diagonal. hazard.model (character), hazard model specified from the user. Set to user.specific when a custom model is passed.
matrix array Triangle of the scaled deviance residuals.
matrix array Triangle of the fitted development factors.
list List of the development-accident-calendar effects fitted.
AggregateDataPP object, reverse time triangle to be fitted.
character, hazard model supported from our package. The model can be chosen from:
'a': Age model, this is equivalent to the Mack chain-ladder.
'ac': Age and cohort effects.
'ap': Age and cohort effects.
'apc': Age cohort and period effects.
character, defines the link function and random component associated with
the mortality model. "log" would assume that deaths follow a
Poisson distribution and use a log link while "logit" would assume
that deaths follow a Binomial distribution and a logit link.
To be disregarded unless the practitioner specifies his own hazard model in StMoMo.
logical, indicates if a static age function
\(\alpha_x\) is to be included. To be disregarded unless the practitioner specifies his own hazard model in StMoMo.
list, a list of length \(N\) with the definitions of the
period age modulating parameters \(\beta_x^{(i)}\). Each entry can take
values: "NP" for non-parametric age terms, "1" for
\(\beta_x^{(i)}=1\) or a predefined parametric function of
age (see details). Set this to NULL if there are no period terms
in the model.
To be disregarded unless the practitioner specifies his own hazard model in StMoMo.
character or function, defines the cohort age modulating parameter
\(\beta_x^{(0)}\). It can take values: "NP" for non-parametric
age terms, "1" for \(\beta_x^{(0)}=1\), a predefined parametric
function of age (see details) or NULL if there is no cohort effect.
To be disregarded unless the practitioner specifies his own hazard model in StMoMo.
logical, whether effects should be on the logarithmic scale. By default, TRUE.
function, it defines the identifiability constraints of the
model. It must be a function of the form
constFun <- function(ax, bx, kt, b0x, gc, wxt, ages) taking a set
of fitted model parameters and returning a list
list(ax = ax, bx = bx, kt = kt, b0x = b0x, gc = gc)
of the model parameters with the identifiability constraints applied. If
omitted no identifiability constraints are applied to the model.
To be disregarded unless the practitioner specifies his own hazard model in StMoMo.
parameters to be passed to clmplus.
Pittarello, Gabriele, Munir Hiabu, and Andrés M. Villegas. "Replicating and extending chain ladder via an age-period-cohort structure on the claim development in a run-off triangle." arXiv preprint arXiv:2301.03858 (2023).
data(sifa.mtpl)
sifa.mtpl.rtt <- AggregateDataPP(cumulative.payments.triangle=sifa.mtpl)
hz.chl=clmplus(sifa.mtpl.rtt, 'a')
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