[R-sig-ins] running the aggregate claims distribution with the package "actuar"

[Christophe Dutang]

Hi,

Did you increase the maximum number of iterations? maxit argument

Regards, Christophe
—
Christophe Dutang
LMM, UdM, Le Mans, France
web: http://dutangc.free.fr

Le 23 oct. 2014 à 07:20, Charles Thuo <tcmuigai at gmail.com> a écrit :

> # 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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> 
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