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mages / ChainLadder

Claims reserving models in R
https://mages.github.io/ChainLadder/
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Process and parameter error #7

Closed Rick132 closed 8 years ago

Rick132 commented 8 years ago

Hello! Please I have 2 questions and really hope someone will help me to understand.

1.Is there any way to find the process and parameter error from the Mack ChainLadder output? Is process and parameter error the same as the process risk and parameter risk that the package provide? If they are, Is the sum of the two not supposed to be equal to Mack.S.E for a given accident year?

  1. My second question is about glmReserve in the ChainLadder package. If I set var.power= NULL, it returns "var.power must be provided for this version" although the vignette expressed that the package can return a var.power that fits the data when you set var.power=NULL.

Am I missing something? I need help on these issues.

Thanks in advance

trinostics commented 8 years ago

I will respond to #1:

Is process and parameter error the same as the process risk and parameter risk that the package provide?

Yes

Is the sum of the two not supposed to be equal to MackSE for a given accident year?

No. You do not add the errors, but use the Pythagorean theorem equivalent formula: MackSE = sqrt(processrisk^2 + parameterrisk^2)

Rick132 commented 8 years ago

Thank you very much! That really helped!

actuaryzhang commented 8 years ago

Regarding your second question, you need the newest version of ChainLadder 0.2.2 to estimate the power of the variance function. What version were you using?

Rick132 commented 8 years ago

Hey! I am using version 0.2.0. It seems version 0.2.2 doesnot exist on R for macbook.

On Mon, Jan 25, 2016 at 6:09 PM, actuaryzhang notifications@github.com wrote:

Regarding your second question, you need the newest version of ChainLadder 0.2.2 to estimate the power of the variance function. What version were you using?

— Reply to this email directly or view it on GitHub https://github.com/mages/ChainLadder/issues/7#issuecomment-174588287.

actuaryzhang commented 8 years ago

There are binaries for Mac on CRAN for version 0.2.2. Or you can download the source file and run install.packages on that. Let me know if it still does not work.

Rick132 commented 8 years ago

Hello! Thanks for the response. I have just installed Chain Ladder on Windows PC and got the version 0.2.2. "var.power=NULL" works on that. However reinstalling Chain Ladder on Mac (at least on mine) returns version 0.2.0 and get an error for var.power=NULL. See below :

install.packages("ChainLadder")

There is a binary version available (and will be installed) but the source version is later: binary source ChainLadder 0.2.0 0.2.2

Error: Error in glmReserve(as.triangle(inc.triangle), var.power = NULL, link.power = 0, : var.power must be provided for this version

On Wed, Jan 27, 2016 at 3:01 AM, actuaryzhang notifications@github.com wrote:

There are binaries for Mac on CRAN for version 0.2.2. Or you can download the source file and run install.packages on that. Let me know if it still does not work.

— Reply to this email directly or view it on GitHub https://github.com/mages/ChainLadder/issues/7#issuecomment-175341882.

trinostics commented 8 years ago

I have a mac, and my ChainLadder version is 0.2.3, with R version 3.2.3. See console output below.

R version 3.2.3 (2015-12-10) -- "Wooden Christmas-Tree" Copyright (C) 2015 The R Foundation for Statistical Computing Platform: x86_64-apple-darwin13.4.0 (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY. You are welcome to redistribute it under certain conditions. Type 'license()' or 'licence()' for distribution details.

Natural language support but running in an English locale

R is a collaborative project with many contributors. Type 'contributors()' for more information and 'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or 'help.start()' for an HTML browser interface to help. Type 'q()' to quit R.

[R.app GUI 1.66 (7060) x86_64-apple-darwin13.4.0]

[History restored from /Users/danielmurphy/.Rapp.history]

Welcome to ChainLadder version 0.2.3

Type vignette('ChainLadder', package='ChainLadder') to access the overall package documentation.

See demo(package='ChainLadder') for a list of demos.

More information is available on the ChainLadder project web-site: https://github.com/mages/ChainLadder

To suppress this message use: suppressPackageStartupMessages(library(ChainLadder))

starting httpd help server ... done

Rick132 commented 8 years ago

Hey! Thanks you very much. I just had to update my R to version 3.2.3. I have Chain Ladder version 0.2.2 now

On Wed, Jan 27, 2016 at 2:14 PM, Dan Murphy notifications@github.com wrote:

I have a mac, and my ChainLadder version is 0.2.3, with R version 3.2.3. See console output below.

R version 3.2.3 (2015-12-10) -- "Wooden Christmas-Tree" Copyright (C) 2015 The R Foundation for Statistical Computing Platform: x86_64-apple-darwin13.4.0 (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY. You are welcome to redistribute it under certain conditions. Type 'license()' or 'licence()' for distribution details.

Natural language support but running in an English locale

R is a collaborative project with many contributors. Type 'contributors()' for more information and 'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or 'help.start()' for an HTML browser interface to help. Type 'q()' to quit R.

[R.app GUI 1.66 (7060) x86_64-apple-darwin13.4.0]

[History restored from /Users/danielmurphy/.Rapp.history]

Welcome to ChainLadder version 0.2.3

Type vignette('ChainLadder', package='ChainLadder') to access the overall package documentation.

See demo(package='ChainLadder') for a list of demos.

More information is available on the ChainLadder project web-site: https://github.com/mages/ChainLadder

To suppress this message use: suppressPackageStartupMessages(library(ChainLadder))

starting httpd help server ... done

— Reply to this email directly or view it on GitHub https://github.com/mages/ChainLadder/issues/7#issuecomment-175617741.

chiefmurph commented 8 years ago

It should be ChainLadder version 0.2.3. Please review my output again.

mages commented 8 years ago

Just to clarify version 0.2.3 is the developer version in GitHub.

On 27 Jan 2016, at 14:13, chiefmurph notifications@github.com wrote:

It should be ChainLadder version 0.2.3. Please review my output again.

— Reply to this email directly or view it on GitHub.

chiefmurph commented 8 years ago

Ah. Yep. Now my ChainLadder is 0.2.2. Thanks, Markus.

chiefmurph commented 8 years ago

Then after devtools::install_github("mages/ChainLadder") back to 0.2.3.