Access Markov Chain Transition Matrix in the MACRAME Algorithm

Retrieves the Markov chain components from a profileLadder object returned from the function mcReserve() – in particular, the function returns the matrix of the estimated transition probabilities used by the underlying Markov Chain to provide the reserve prediction.

Usage

mcTrans(object)

Arguments

object

An object of class profileLadder.

Value

The matrix of the estimated Markov chain transition probabilities

See also

mcReserve(), mcBreaks(), mcStates()

Examples

## MACRAME reserve prediction with the DEFAULT Markov chain setup 
output <- mcReserve(CameronMutual)

## Extracting the corresponding break points
mcTrans(output)
#>         [,1]   [,2]   [,3]   [,4] [,5] [,6] [,7] [,8] [,9] [,10]
#>  [1,] 0.5000 0.5000 0.0000 0.0000 0.00 0.00 0.00 0.00    0     0
#>  [2,] 0.6667 0.3333 0.0000 0.0000 0.00 0.00 0.00 0.00    0     0
#>  [3,] 0.3333 0.6667 0.0000 0.0000 0.00 0.00 0.00 0.00    0     0
#>  [4,] 0.3333 0.0000 0.3333 0.3333 0.00 0.00 0.00 0.00    0     0
#>  [5,] 0.0000 0.0000 0.6000 0.2000 0.20 0.00 0.00 0.00    0     0
#>  [6,] 0.0000 0.0000 0.2500 0.5000 0.25 0.00 0.00 0.00    0     0
#>  [7,] 0.0000 0.0000 0.0000 0.0000 0.50 0.00 0.50 0.00    0     0
#>  [8,] 0.0000 0.0000 0.0000 0.0000 0.25 0.75 0.00 0.00    0     0
#>  [9,] 0.0000 0.0000 0.0000 0.0000 0.00 0.25 0.50 0.25    0     0
#> [10,] 0.0000 0.0000 0.0000 0.0000 0.00 0.00 0.25 0.75    0     0