summary-methods function

Methods for Function summary

Methods for function summary to calculate summary statistics from a "MultiChainLadder" object. methods

## S4 method for signature 'MultiChainLadder'
summary(object, portfolio=NULL,...)

Arguments

• object: object of class "MultiChainLadder"
• portfolio: character strings specifying which triangles to be summed up as portfolio.
• ...: optional arguments to summary methods

Details

summary calculations the summary statistics for each triangle and the whole portfolio from portfolio. portfolio defaults to the sum of all input triangles. It can also be specified as "i+j" format, which means the sum of the i-th and j-th triangle as portfolio. For example, "1+3" means the sum of the first and third triangle as portfolio.

Returns

The summary function returns an object of class "MultiChainLadderSummary" that has the following slots: - Triangles: input triangles

• FullTriangles: predicted triangles

• S.E.Full: a list of prediction errors for each cell

• S.E.Est.Full: a list of estimation errors for each cell

• S.E.Proc.Full: a list of process errors for each cell

• Ultimate: predicted ultimate losses for each triangle and portfolio

• Latest: latest observed losses for each triangle and portfolio

• IBNR: predicted IBNR for each triangle and portfolio

• S.E.Ult: a matrix of prediction errors of ultimate losses for each triangle and portfolio

• S.E.Est.Ult: a matrix of estimation errors of ultimate losses for each triangle and portfolio

• S.E.Proc.Ult: a matrix of process errors of ultimate losses for each triangle and portfolio

• report.summary: summary statistics for each triangle and portfolio

• coefficients: estimated coefficients from systemfit. They are put into the matrix format for GMCL

• coefCov: estimated variance-covariance matrix returned by systemfit

• residCov: estimated residual covariance matrix returned by systemfit

• rstandard: standardized residuals

• fitted.values: fitted.values

• residCor: residual correlation

• model.summary: summary statistics for the cofficients including p-values

• portfolio: how portfolio is calculated

Author(s)

Wayne Zhang actuary_zhang@hotmail.com

See Also

See Also MultiChainLadder

Examples

data(GenIns)
fit.bbmw=MultiChainLadder(list(GenIns),fit.method="OLS", mse.method="Independence")
summary(fit.bbmw)