Bootstrap speed improvement and One Year re-reserving approach (Solvency 2)

[GoogleCodeExporter]

Hi,

in the attached patch file you will find the following changes:

 - Code speed improvement removing some slow apply code. Now you can run tens thousands simulations in a very short time. If you want make R = 9999 by default.

 - Added one year re-reserving approach for Solvency 2 purposes.

Things to keep in mind:
 - One year approach is calculated by default and results stored in NYCost.ByOrigin variable. Maybe it's better to insert a function argument in order to select if the user want also the one year calculation. 
 - print and plot functions are not modified. Still need a rewrite for speed improvements and one year approach.

Bye

Original issue reported on code.google.com by crupi.gi...@gmail.com on 10 Jun 2012 at 10:47

Attachments:

• [Bootstrap patch.txt](https://storage.googleapis.com/google-code-attachments/chainladder/issue-6/comment-0/Bootstrap patch.txt)

[GoogleCodeExporter]

Hi Giuseppe,

Thanks for your patch I will look into this over the next week or so.

Best regards

Markus

Original comment by markus.g...@googlemail.com on 17 Jun 2012 at 6:12

[GoogleCodeExporter]

Hi Giuseppe,

Thanks for your patch I will look into this over the next week or so.

Best regards

Markus

Original comment by markus.g...@googlemail.com on 17 Jun 2012 at 6:12