[R] running the aggregate claims distribution using the package "actuar"

[Charles Thuo]

# i  run the following after fitting claims data into the negative binomial
as the frequency  distribution and the lognormal for the severity
distribution using the package "fitdistrplus".

require(actuar)


fx<- discretize(plnorm(x,11.69,0.79331),method="unbiased",step=500,from=0,


        to=qlnorm(1-1E-6,11.69,0.79331),lev=levlnorm(x,11.69,0.79331))



 pb<- 2.6/18.6


 pn<- dnbinom(0:qnbinom(1-1E-6,size=2.6,prob=pb),size=2.6,prob=pb)



 Fs<-
aggregateDist("convolution",model.sev=fx,model.freq=pn,x.scale=1,tol=1E-6)


# The Fs function stalls and does not produce and output. Can anyoen advise
why this is the case?

# On the other hand does the convolution method require iterations.

# In case the function Fs run successfully how are the parameters of the Fs
distribution extracted. How would the same parameters be related to an
existing portfolio of outstanding claims.

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