GammaTrial {bootstrap}R Documentation

Description

This is the second stage of bootstrap sampling.

This function do gamma simulation on each cell (not 0) of the lower part of a trianle. Gamma Distribution on each cell is assumed with: shape=Mij/scale, scale, This is all from the assumption that: each cell value is the mean and scale is got from Pearson scale factor: scale=sum(chi-square) / (r+p). See VE paper for detail.

Gamma distribution has: Mean=Shape * Scale, and Variance=Shape * Scale ^2

Usage

GammaTrial(A, scale_, ...)

Arguments

A ~~incremental lower developed triangle~~
scale_ ~~bootstrap scale factor~~
...

Note

~~After this gamma sampling, bootstrap process is ready to calculate reserves by adding up the incremental cell values on each year.~~

References

"Analytic and bootstrap estimates of prediction errors in claims reserving" from Peter England and Richard Verrall

Examples

##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--    or do  help(data=index)  for the standard data sets.

## The function is currently defined as
function(A, scale_, ...)  standardGeneric("GammaTrial")

[Package bootstrap version 1.0-1 Index]