Re: [R] Beta stochastic simulation

From: Mark Pinkerton <Mark.Pinkerton_at_rms.com>
Date: Fri 15 Sep 2006 - 11:51:07 GMT


I have just installed 2.4.0 alpha and the problem persists. Here is the output of the run:

> # Summary stats
> summary(totals.losses1)

     Min.   1st Qu.    Median      Mean   3rd Qu.      Max. 
        0         0      1284   1617000    685100 219200000 

> mean(totals.losses1)

[1] 1617219
> sd(totals.losses1)/sqrt(length(totals.losses1))
[1] 78863.17
>
> summary(totals.losses2)
     Min.   1st Qu.    Median      Mean   3rd Qu.      Max. 
        0         0      1422   2417000    819200 118200000 

> mean(totals.losses2)

[1] 2417471
> sd(totals.losses2)/sqrt(length(totals.losses2))
[1] 134866.0

Thanks,
Mark

Mark Pinkerton
Risk Management Solutions
Peninsular House
30 Monument Street
London EC3R 8HB
UK  

www.RMS.com
Tel: +44 20 7444 7783
Fax: +44 20 7444 7601

-----Original Message-----
From: Duncan Murdoch [mailto:murdoch@stats.uwo.ca] Sent: 15 September 2006 12:15
To: Mark Pinkerton
Cc: r-help@stat.math.ethz.ch
Subject: Re: [R] Beta stochastic simulation

On 9/15/2006 6:43 AM, Mark Pinkerton wrote:
> Hi Duncan,
> Thanks for having a look at this. Find attached a zip with all the
> relevant files to run the simulation. I am running this on Windows XP,

> R version 2.3.1.

Does the error still occur in a recent alpha build? It's downloadable from CRAN, in cran.r-project.org/bin/windows/base/rtest.html (though I notice the version there is a week old; I'd better kick the build script).

Duncan Murdoch
'
>
> The correct result for the average annual loss, calculated using a
> battle tested FFT engine, is 1,609,361 The summary stats from my last
> run are below:
>

>> # Summary stats
>> summary(totals.losses1)

> Min. 1st Qu. Median Mean 3rd Qu. Max.
> 0 0 1142 1620000 698000 132500000
>> mean(totals.losses1)

> [1] 1619891
>> sd(totals.losses1)/sqrt(length(totals.losses1))

> [1] 77949.25
>> summary(totals.losses2)

> Min. 1st Qu. Median Mean 3rd Qu. Max.
> 0 0 2352 2341000 749700 141700000
>> mean(totals.losses2)

> [1] 2341237
>> sd(totals.losses2)/sqrt(length(totals.losses2))

> [1] 129695.9
>
> Thanks,
> Mark
>
> Mark Pinkerton
> Risk Management Solutions
> Peninsular House
> 30 Monument Street
> London EC3R 8HB
> UK
>
> www.RMS.com
> Tel: +44 20 7444 7783
> Fax: +44 20 7444 7601
>
> -----Original Message-----
> From: Duncan Murdoch [mailto:murdoch@stats.uwo.ca]
> Sent: 15 September 2006 00:45
> To: Mark Pinkerton
> Cc: r-help@stat.math.ethz.ch
> Subject: Re: [R] Beta stochastic simulation
>
> On 9/14/2006 5:26 PM, Mark Pinkerton wrote:
>> Hi Duncan,
>> I had also validated the logic with a simple test which is why I was

> surprised by the differences I was seeing from tthe more complex
> simulation. I am running R on a Windows 2000 - I'll have to check
> which version at my desk tomorrow but it's pretty up to date, maybe 6
> monthes old. Attached is a code snippet from my simulation program
> which is used to estimate multi-event annual losses for US hurricanes.

> The event set being sampled from is quite large (~14000) with each
> event and account combination having a unique beta loss distribution.
> Simply swapping lines 23 and 24 has the effect on results that I
> mentioned in the previous email. The simulation is large enough that
> the MC error in the estimated means are negligible.
>
> The code you sent isn't usable, because it's missing your data. Could

> you please do the following?
>
> - verify that the behaviour still happens in the current alpha test
> version
>
> - try to simplify the example code so someone else can run it? It
> could be that certain values of alpha and beta trigger a bug but the
> ones I tried were fine.
>
> Duncan Murdoch
>
>
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