Beta stochastic simulation

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 at stats.uwo.ca] 
Sent: 15 September 2006 12:15
To: Mark Pinkerton
Cc: r-help at 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 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


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