[R] Beta stochastic simulation

[Duncan Murdoch]

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 at stats.uwo.ca] 
> Sent: 15 September 2006 00:45
> To: Mark Pinkerton
> Cc: r-help at 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
> 
> 
> This message and any attachments contain information that may be RMS Inc. 
> confidential and/or privileged.  If you are not the intended recipient 
> (or authorized to receive for the intended recipient), and have received 
> this message in error, any use, disclosure or distribution is strictly 
> prohibited.   If you have received this message in error, please notify 
> the sender immediately by replying to the e-mail and permanently deleting 
> the message from your computer and/or storage system.