S3 method for summary() on Triangle objects. Computes group-wise summary
statistics for loss ratios (lr) and cumulative loss ratios (clr).
The function aggregates data by the grouping variables stored in
attr(x, "group_var") and the development variable stored in
attr(x, "dev_var").
The following statistics are computed:
arithmetic mean,
median,
weighted mean (portfolio-level ratio based on sums).
Usage
# S3 method for class 'Triangle'
summary(object, ...)Value
A data.table grouped by group_var and dev_var, containing:
- n_obs
Number of observations in the cell
- lr_mean
Mean of loss ratios
- lr_median
Median of loss ratios
- lr_wt
Weighted loss ratio (
sum(loss) / sum(rp))- clr_mean
Mean of cumulative loss ratios
- clr_median
Median of cumulative loss ratios
- clr_wt
Weighted cumulative loss ratio (
sum(closs) / sum(crp))
The returned object keeps the attributes group_var and dev_var,
and its class is updated to "TriangleSummary".
Details
The weighted mean is computed as:
lr_wt = sum(loss) / sum(rp)clr_wt = sum(closs) / sum(crp)
These correspond to portfolio-level loss ratios based on risk premium and are typically more stable than simple averages when exposure sizes differ across cohorts.
It is assumed that the input Triangle object does not contain missing values.
Examples
if (FALSE) { # \dontrun{
d <- build_triangle(df, group_var = cv_nm)
sm <- summary(d)
head(sm)
attr(sm, "longer")
} # }