R: Casualty Actuarial Society Individual Claim Simulator

# Casualty Actuarial Society Individual Claim Simulator

## Documentation for package ‘cascsim’ version 0.4

- DESCRIPTION file
- User guides, package vignettes and other documentation

## Help Pages

C D E F G I K M N O P Q R S T U

## -- C --

CDFPlot | Plotting the CDF of data and fitted distribution
CDFPlot-method | Plotting the CDF of data and fitted distribution
ChiSqrTest | Chi-Squared Test
ChiSqrTest-method | Chi-Squared Test
claimdata | Sample Claim Data
claimFitting | Claim data fitting analysis at line/type/status level
claimFitting-method | Claim data fitting analysis at line/type/status level
claimSample | Claim simulation at line/type/status level
claimSample-method | Claim simulation at line/type/status level
claimSimulation | Claim simulation at line/type/status level
claimSimulation-method | Claim simulation at line/type/status level
ClaimType-class | An S4 class to represent a claim type.
copulaDataPlot | Experience data plotting.
copulaDataPlot-method | Experience data plotting.
copulaFit | Copula fitting
copulaFit-method | Copula fitting
copulaFitPlot | Visualization Copula fitting
copulaFitPlot-method | Visualization Copula fitting
CopulaObj-class | An S4 class to represent a copula object to model the correlation.
copulaPlot | Copula plotting. Only for 2 or 3 variables
copulaPlot-method | Copula plotting. Only for 2 or 3 variables
copulaSample | Copula sampling. It will generate correlated variables or percentiles when marginal distributions are not specified.
copulaSample-method | Copula sampling. It will generate correlated variables or percentiles when marginal distributions are not specified.

## -- D --

dempirical | Cumulative probability function of empirical distribution using linear interpolation
Density | Density function.
Density-method | Density function.
DevFac-class | An S4 class to represent a loss development schedule.
Distribution-class | An S4 class to represent a distribution, either parametric or non-parametric.
doPlot | Plot function.
doPlot-method | Plot function.
doSample | Sampling from the distribution.
doSample-method | Sampling from the distribution.
dpareto | Moment function of Pareto Distribution (PDF: alpha*xm^alpha/x^(alpha+1))
dtbeta | Density function of Truncated Beta Distribution
dtempirical | Density function of truncated empirical distribution
dtexp | Density function of Truncated Exponential Distribution
dtgamma | Density function of Truncated Gamma Distribution
dtgeom | Density function of Truncated Geometric Distribution
dtlnorm | Density function of Truncated Lognormal Distribution
dtnbinom | Density function of Truncated Negative Binomial Distribution
dtnorm | Density function of Truncated Normal Distribution
dtpareto | Density function of Truncated Pareto Distribution
dtpois | Density function of Truncated Poisson Distribution
dtweibull | Density function of Truncated Weibull Distribution

## -- E --

expectZeros | Get the expected P0 based on settlement/close year.

## -- F --

FitDist-class | An S4 class to represent distribution fitting.
fitPlot | Compare the raw data and fitted distribution on density, CDF, Q-Q plot and P-P plot
fitPlot-method | Compare the raw data and fitted distribution on density, CDF, Q-Q plot and P-P plot

## -- G --

getCopula | Get the R copula object.
getCopula-method | Get the R copula object.
getIndex | Retrieve index value based on dates.
getIndex-method | Retrieve index value based on dates.
getObservation | Get input data from an object.
getObservation-method | Get input data from an object.
getTrend | Get the trend index.
getTrend-method | Get the trend index.

## -- I --

Index-class | An S4 class to represent a time index for frequency or severity distribution.

## -- K --

KSTest | K-S Test
KSTest-method | K-S Test

## -- M --

mpareto | Moment function of Pareto Distribution (PDF: alpha*xm^alpha/x^(alpha+1))

## -- N --

nloglik | Negative Loglikelihood.

## -- O --

observationPlot | Plotting the data for distribution fitting
observationPlot-method | Plotting the data for distribution fitting

## -- P --

PDFPlot | Plotting the PDF of data and fitted distribution
PDFPlot-method | Plotting the PDF of data and fitted distribution
pempirical | Cumulative probability function of empirical distribution using linear interpolation
plotText | Plot text content
ppareto | Moment function of Pareto Distribution (PDF: alpha*xm^alpha/x^(alpha+1))
PPPlot | P-P Plot of data and fitted distribution
PPPlot-method | P-P Plot of data and fitted distribution
Probability | Probability function.
Probability-method | Probability function.
ptbeta | Density function of Truncated Beta Distribution
ptempirical | Density function of truncated empirical distribution
ptexp | Density function of Truncated Exponential Distribution
ptgamma | Density function of Truncated Gamma Distribution
ptgeom | Density function of Truncated Geometric Distribution
ptlnorm | Density function of Truncated Lognormal Distribution
ptnbinom | Density function of Truncated Negative Binomial Distribution
ptnorm | Density function of Truncated Normal Distribution
ptpareto | Density function of Truncated Pareto Distribution
ptpois | Density function of Truncated Poisson Distribution
ptweibull | Density function of Truncated Weibull Distribution

## -- Q --

qempirical | Cumulative probability function of empirical distribution using linear interpolation
qpareto | Moment function of Pareto Distribution (PDF: alpha*xm^alpha/x^(alpha+1))
QQPlot | Q-Q Plot of data and fitted distribution
QQPlot-method | Q-Q Plot of data and fitted distribution
qtbeta | Density function of Truncated Beta Distribution
qtempirical | Density function of truncated empirical distribution
qtexp | Density function of Truncated Exponential Distribution
qtgamma | Density function of Truncated Gamma Distribution
qtgeom | Density function of Truncated Geometric Distribution
qtlnorm | Density function of Truncated Lognormal Distribution
qtnbinom | Density function of Truncated Negative Binomial Distribution
qtnorm | Density function of Truncated Normal Distribution
qtpareto | Density function of Truncated Pareto Distribution
qtpois | Density function of Truncated Poisson Distribution
qtweibull | Density function of Truncated Weibull Distribution
Quantile | Quantile function.
Quantile-method | Quantile function.

## -- R --

rempirical | Cumulative probability function of empirical distribution using linear interpolation
rpareto | Moment function of Pareto Distribution (PDF: alpha*xm^alpha/x^(alpha+1))
rreopen | Simulate whether closed claims will be reopened or not.
rtbeta | Density function of Truncated Beta Distribution
rtempirical | Density function of truncated empirical distribution
rtexp | Density function of Truncated Exponential Distribution
rtgamma | Density function of Truncated Gamma Distribution
rtgeom | Density function of Truncated Geometric Distribution
rtlnorm | Density function of Truncated Lognormal Distribution
rtnbinom | Density function of Truncated Negative Binomial Distribution
rtnorm | Density function of Truncated Normal Distribution
rtpareto | Density function of Truncated Pareto Distribution
rtpois | Density function of Truncated Poisson Distribution
rtweibull | Density function of Truncated Weibull Distribution

## -- S --

sampleKurtosis | Calculate the excess kurtosis of 10000 sampled values from the distribution.
sampleKurtosis-method | Calculate the excess kurtosis of 10000 sampled values from the distribution.
sampleMean | Calculate the mean of 100000 sampled values from the distribution.
sampleMean-method | Calculate the mean of 100000 sampled values from the distribution.
sampleSd | Calculate the standard deviation of 10000 sampled values from the distribution.
sampleSd-method | Calculate the standard deviation of 10000 sampled values from the distribution.
sampleSkew | Calculate the skewness of 10000 sampled values from the distribution.
sampleSkew-method | Calculate the skewness of 10000 sampled values from the distribution.
setAnnualizedRate-method | Set the annualized level rate to construct the index. Only used when tabulate == FALSE.
setAnnualizedRate<- | Set the annualized level rate to construct the index. Only used when tabulate == FALSE.
setAnnualizedRate<--method | Set the annualized level rate to construct the index. Only used when tabulate == FALSE.
setCopulaParam-method | Set copula parameters.
setCopulaParam<- | Set copula parameters.
setCopulaParam<--method | Set copula parameters.
setCopulaType-method | Set copula type.
setCopulaType<- | Set copula type.
setCopulaType<--method | Set copula type.
setDevFac | Set up an IBNER loss development schedule.
setDevFac-method | Set up an IBNER loss development schedule.
setDf-method | Set the degree of freedom for t Copula.
setDf<- | Set the degree of freedom for t Copula.
setDf<--method | Set the degree of freedom for t Copula.
setDimension-method | Set the dimension of the copula.
setDimension<- | Set the dimension of the copula.
setDimension<--method | Set the dimension of the copula.
setDispstr-method | Set parameter matrix format of Elliptical copula.
setDispstr<- | Set parameter matrix format of Elliptical copula.
setDispstr<--method | Set parameter matrix format of Elliptical copula.
setEmpirical-method | Set the list of values and corresponding probabilities (Pr(X<value) for continuous variable and Pr(X==value) for discrete variable). It is only used for empirical distribution.
setEmpirical<- | Set the list of values and corresponding probabilities (Pr(X<value) for continuous variable and Pr(X==value) for discrete variable). It is only used for empirical distribution.
setEmpirical<--method | Set the list of values and corresponding probabilities (Pr(X<value) for continuous variable and Pr(X==value) for discrete variable). It is only used for empirical distribution.
setFacModel-method | Determine whether the development factor is determined by a predictive model or a fixed schedule by development year
setFacModel<- | Determine whether the development factor is determined by a predictive model or a fixed schedule by development year
setFacModel<--method | Determine whether the development factor is determined by a predictive model or a fixed schedule by development year
setFitdata | Preparing the input data (observation) for distribution fitting, including detrending, translating occurrence dates to frequency data, etc.
setFitdata-method | Preparing the input data (observation) for distribution fitting, including detrending, translating occurrence dates to frequency data, etc.
setfitmethod-method | Set distribution fitting method.
setfitmethod<- | Set distribution fitting method.
setfitmethod<--method | Set distribution fitting method.
setFittedDist-method | Directly set the fitted distribution without fitting it to the data.
setFittedDist<- | Directly set the fitted distribution without fitting it to the data.
setFittedDist<--method | Directly set the fitted distribution without fitting it to the data.
setfreq-method | Set the data frequency.
setfreq<- | Set the data frequency.
setfreq<--method | Set the data frequency.
setFun-method | Set the model format/link function (identity/inverse/log/exponential). Only used when FacModel == TRUE.
setFun<- | Set the model format/link function (identity/inverse/log/exponential). Only used when FacModel == TRUE.
setFun<--method | Set the model format/link function (identity/inverse/log/exponential). Only used when FacModel == TRUE.
setID-method | setID Set the ID for an object
setID<- | setID Set the ID for an object
setID<--method | setID Set the ID for an object
setidate-method | Set whether occurrence dates will be used for frequency data.
setidate<- | Set whether occurrence dates will be used for frequency data.
setidate<--method | Set whether occurrence dates will be used for frequency data.
setifreq-method | Set the data type: frequency or severity/time lag.
setifreq<- | Set the data type: frequency or severity/time lag.
setifreq<--method | Set the data type: frequency or severity/time lag.
setIndex | Set up a time index for frequency or severity.
setIndex-method | Set up a time index for frequency or severity.
setMarginal-method | Set the marginal distributions of the copula.
setMarginal<- | Set the marginal distributions of the copula.
setMarginal<--method | Set the marginal distributions of the copula.
setMeanList-method | Set the year-to-year loss development factor.
setMeanList<- | Set the year-to-year loss development factor.
setMeanList<--method | Set the year-to-year loss development factor.
setMin | Set the minimum of the distribution. For example, the distribution of settlement lag for open claims
setMin-method | Set the minimum of the distribution. For example, the distribution of settlement lag for open claims
setMonthlyIndex-method | Set monthly index values.
setMonthlyIndex<- | Set monthly index values.
setMonthlyIndex<--method | Set monthly index values.
setObservation-method | Input the raw data.
setObservation<- | Input the raw data.
setObservation<--method | Input the raw data.
setParams-method | Set distribution parameters.
setParams<- | Set distribution parameters.
setParams<--method | Set distribution parameters.
setParas-method | Set the values of model parameters.
setParas<- | Set the values of model parameters.
setParas<--method | Set the values of model parameters.
setprobs-method | Set the percentiles to be matched. Only used when qme is chosen for fitting method.
setprobs<- | Set the percentiles to be matched. Only used when qme is chosen for fitting method.
setprobs<--method | Set the percentiles to be matched. Only used when qme is chosen for fitting method.
setRange-method | Set the min and max of the variable.
setRange<- | Set the min and max of the variable.
setRange<--method | Set the min and max of the variable.
setRectangle | Set up the rectangle based on simulated data.
setRectangle-method | Set up the rectangle based on simulated data.
setSeasonality-method | Set seasonality on a monthly basis.
setSeasonality<- | Set seasonality on a monthly basis.
setSeasonality<--method | Set seasonality on a monthly basis.
setStartDate-method | Set the start date for the claim simulation exercise
setStartDate<- | Set the start date for the claim simulation exercise
setStartDate<--method | Set the start date for the claim simulation exercise
setTabulate-method | Determine whether the index values are constructed from a constant rate or provided directly
setTabulate<- | Determine whether the index values are constructed from a constant rate or provided directly
setTabulate<--method | Determine whether the index values are constructed from a constant rate or provided directly
setTrend-method | Set the trend with an Index Object.
setTrend<- | Set the trend with an Index Object.
setTrend<--method | Set the trend with an Index Object.
setTrialDist-method | Distribution fitting and testing.
setTrialDist<- | Distribution fitting and testing.
setTrialDist<--method | Distribution fitting and testing.
setTrialDistErr-method | Distribution fitting and testing. Same as setTrialDist except for error tolerance.
setTrialDistErr<- | Distribution fitting and testing. Same as setTrialDist except for error tolerance.
setTrialDistErr<--method | Distribution fitting and testing. Same as setTrialDist except for error tolerance.
setTruncated-method | Set the indicator of truncated distribution.
setTruncated<- | Set the indicator of truncated distribution.
setTruncated<--method | Set the indicator of truncated distribution.
setUpperKeep | Set up the upper triangle for non-simulated data.
setUpperKeep-method | Set up the upper triangle for non-simulated data.
setUpperTriangle | Set up the upper triangle based on claim data.
setUpperTriangle-method | Set up the upper triangle based on claim data.
setVolList-method | Set the year-to-year loss development factor volatility.
setVolList<- | Set the year-to-year loss development factor volatility.
setVolList<--method | Set the year-to-year loss development factor volatility.
setXname-method | Set additional explanatory variable names.
setXname<- | Set additional explanatory variable names.
setXname<--method | Set additional explanatory variable names.
setYearlyIndex-method | Set yearly index values.
setYearlyIndex<- | Set yearly index values.
setYearlyIndex<--method | Set yearly index values.
shiftIndex | Shift monthly index with a new start date and replace the unknown index value with zero.
shiftIndex-method | Shift monthly index with a new start date and replace the unknown index value with zero.
simP0 | Simulate whether claims will have zero payment.
simReport | Generate claim simulation result report in html
simReport-method | Generate claim simulation result report in html
simSummary | Claim simulation result summary
simSummary-method | Claim simulation result summary
simTriangle | Claim simulation result triangles
simTriangle-method | Claim simulation result triangles
Simulation-class | An S4 class to represent a simulation task.

## -- T --

TEKurt | Calculate Theoretical Excessive Kurtosis of distribution. min and max are not applied
TEKurt-method | Calculate Theoretical Excessive Kurtosis of distribution. min and max are not applied
TMean | Calculate Theoretical Mean of distribution. min and max are not applied
TMean-method | Calculate Theoretical Mean of distribution. min and max are not applied
toDate | Convert US date mm/dd/yyyy to yyyy-mm-dd format
Triangle-class | An S4 class to represent a triangle or rectangle object.
truncate | Truncate a numeric vector
TSD | Calculate Theoretical Standard Deviation of distribution. min and max are not applied
TSD-method | Calculate Theoretical Standard Deviation of distribution. min and max are not applied
TSkewness | Calculate Theoretical Skewness of distribution. min and max are not applied
TSkewness-method | Calculate Theoretical Skewness of distribution. min and max are not applied

## -- U --

ultiDevFac | Calculate ultimate development factor based on current development year, a mean development factor schedule and its volatility. It is used to simulate the ultimate loss for open claims.