InsuranceVaR: VaR of Insurance Portfolio

In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Description

Generates Monte Carlo VaR for insurance portfolio in Chapter 6.5

Usage

InsuranceVaR(mu, sigma, n, p, theta, deductible, number.trials, cl)

Arguments

mu	Mean of returns
sigma	Volatility of returns
n	Number of contracts
p	Probability of any loss event
theta	Expected profit per contract
deductible	Deductible
number.trials	Number of simulation trials
cl	VaR confidence level

Value

VaR of the specified portfolio

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# Estimates VaR of Insurance portfolio with given parameters
   InsuranceVaR(.8, 1.3, 100, .6, 21,  12, 50, .95)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[1] 68.68769

Dowd documentation built on May 2, 2019, 10:16 a.m.