Individual claims history simulation machine
This package implements the claims history simulation algorithm detailed
in An Individual Claims History Simulation
Machine by Andrea Gabrielli and
Mario V. Wüthrich. The goal is to provide an easy-to-use interface for
generating claims data that can be used for loss reserving research.
You can install the development version from
GitHub with:
# install.packages("remotes")remotes::install_github("kasaai/simulationmachine")
First, we can specify the parameters of a simulation usingsimulation_machine():
library(simulationmachine)charm <- simulation_machine(num_claims = 50000,lob_distribution = c(0.25, 0.25, 0.30, 0.20),inflation = c(0.01, 0.01, 0.01, 0.01),sd_claim = 0.85,sd_recovery = 0.85)charm#> A simulation charm for `simulation_machine`#>#> Each record is:#> - A snapshot of a claim's incremental paid loss and claim status#> at a development year.#>#> Specs:#> - Expected number of claims: 50,000#> - LOB distribution: 0.25, 0.25, 0.3, 0.2#> - Inflation: 0.01, 0.01, 0.01, 0.01#> - SD of claim sizes: 0.85,#> - SD of recovery sizes: 0.85
Once we have the charm object, we can use conjure() to perform the
simulation.
library(dplyr)records <- conjure(charm, seed = 100)glimpse(records)#> Observations: 603,324#> Variables: 11#> $ claim_id <chr> "1", "1", "1", "1", "1", "1", "1", "1", "1", "…#> $ accident_year <int> 1994, 1994, 1994, 1994, 1994, 1994, 1994, 1994…#> $ development_year <int> 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 0, 1, 2,…#> $ accident_quarter <dbl> 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 4, 4, 4, 4…#> $ report_delay <int> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ lob <chr> "3", "3", "3", "3", "3", "3", "3", "3", "3", "…#> $ cc <chr> "42", "42", "42", "42", "42", "42", "42", "42"…#> $ age <int> 65, 65, 65, 65, 65, 65, 65, 65, 65, 65, 65, 65…#> $ injured_part <chr> "51", "51", "51", "51", "51", "51", "51", "51"…#> $ paid_loss <dbl> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 4913, 0, 0…#> $ claim_status_open <int> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0…
Let’s see how many claims we drew:
records %>%distinct(claim_id) %>%count()#> # A tibble: 1 x 1#> n#> <int>#> 1 50277
If you prefer to have each row of the dataset to correspond to a claim,
you can simply pivot the data with tidyr:
records_wide <- records %>%tidyr::pivot_wider(names_from = development_year,values_from = c(paid_loss, claim_status_open),values_fill = list(paid_loss = 0))glimpse(records_wide)#> Observations: 50,277#> Variables: 32#> $ claim_id <chr> "1", "2", "3", "4", "5", "6", "7", "8", "9"…#> $ accident_year <int> 1994, 1994, 1994, 1994, 1994, 1994, 1994, 1…#> $ accident_quarter <dbl> 1, 4, 4, 2, 1, 1, 1, 3, 4, 4, 2, 2, 4, 3, 1…#> $ report_delay <int> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0…#> $ lob <chr> "3", "3", "3", "4", "2", "1", "3", "1", "3"…#> $ cc <chr> "42", "39", "26", "8", "50", "22", "43", "1…#> $ age <int> 65, 52, 23, 54, 24, 53, 39, 40, 27, 43, 55,…#> $ injured_part <chr> "51", "53", "70", "36", "36", "53", "51", "…#> $ paid_loss_0 <dbl> 0, 4913, 0, 458, 1158, 376, 0, 285, 0, 0, 0…#> $ paid_loss_1 <dbl> 0, 0, 0, 0, 0, 0, 0, 0, 0, 3389, 0, 0, 0, 0…#> $ paid_loss_2 <dbl> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ paid_loss_3 <dbl> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ paid_loss_4 <dbl> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ paid_loss_5 <dbl> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ paid_loss_6 <dbl> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ paid_loss_7 <dbl> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ paid_loss_8 <dbl> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ paid_loss_9 <dbl> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ paid_loss_10 <dbl> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ paid_loss_11 <dbl> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ claim_status_open_0 <int> 0, 1, 0, 0, 0, 0, 0, 0, 1, 1, 0, 1, 1, 0, 0…#> $ claim_status_open_1 <int> 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0…#> $ claim_status_open_2 <int> 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ claim_status_open_3 <int> 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ claim_status_open_4 <int> 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ claim_status_open_5 <int> 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ claim_status_open_6 <int> 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ claim_status_open_7 <int> 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ claim_status_open_8 <int> 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ claim_status_open_9 <int> 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ claim_status_open_10 <int> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…#> $ claim_status_open_11 <int> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0…
Please note that this project is released with a Contributor Code of
Conduct.
By participating in this project you agree to abide by its terms.