Scale Regression with Rich Regression Effects
/*--------------------------------------------------------------------------
SAS Sample Library
Name: hsevex10.sas
Description: Example program from SAS/ETS High Performance
Procedures User's Guide, The HPSEVERITY Procedure
Title: Scale Regression with Rich Regression Effects
Product: SAS High Performance Econometrics Software
Keys: Severity Distribution Modeling
PROC: HPSEVERITY
Notes:
----------------------------------------------------------------------------*/
proc format;
value genderFmt 1='Female'
2='Male';
run;
data losses(keep=gender carType education carSafety income
lossAmount deductible limit);
call streaminit(12345);
array sx{8} _temporary_;
array sbeta{9} _TEMPORARY_ (5 0.6 0.4 -0.75 -0.3 0.4 0.7 -0.5 -0.3);
length carType $8 education $16;
format gender genderFmt.;
sigma = 0.5;
do lossEventId=1 to 2500;
/* simulate policyholder and vehicle attributes */
do i=1 to dim(sx);
sx(i) = 0;
end;
if (rand('UNIFORM') < 0.5) then do;
gender = 1; * female;
sx(2) = 1;
end;
else do;
gender = 2; * male;
end;
if (rand('UNIFORM') < 0.7) then do;
carInt = 1;
carType = 'Sedan';
end;
else do;
carInt = 2;
carType = 'SUV';
sx(1) = 1;
end;
educationLevel = rand('UNIFORM');
if (educationLevel < 0.5) then do;
eduInt = 1;
education = 'High School';
end;
else if (educationLevel < 0.85) then do;
eduInt = 2;
education = 'College';
if (carInt=1) then
sx(8) = 1;
else
sx(6) = 1;
end;
else do;
eduInt = 3;
education = 'AdvancedDegree';
if (carInt=1) then
sx(7) = 1;
else
sx(5) = 1;
end;
carSafety = rand('UNIFORM'); /* scaled to be between 0 & 1 */
sx(3) = carSafety;
income = MAX(15000,int(rand('NORMAL', eduInt*30000, 50000)))/100000;
sx(4) = income;
/* simulate lognormal severity */
Mu = sbeta(1);
do i=1 to dim(sx);
Mu = Mu + sx(i) * sbeta(i+1);
end;
lossAmount = exp(Mu) * rand('LOGNORMAL')**Sigma;
loglossAmount = log(lossAmount);
deductible = lossAmount * rand('UNIFORM');
if (rand('UNIFORM') < 0.25) then
limit = lossAmount;
output;
end;
run;
/* Fit scale regression model with different types of regression effects */
proc hpseverity data=losses outstore=eststore
print=all plots=none;
loss lossAmount / lt=deductible rc=limit;
class carType gender education;
scalemodel carType gender carSafety income education*carType
income*gender carSafety*income;
dist logn;
run;