VaR of Insurance Portfolio

Description

Generates Monte Carlo VaR for insurance portfolio in Chapter 6.5

Usage

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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

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

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