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 using
simulation_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: 0.85Once 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 50277If 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.
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