simulate_function: A function to simulate frequency - severity of insurance...

In NetSimR: Actuarial Functions for Non-Life Insurance Modelling

A function to simulate frequency - severity of insurance claims. The function applies severity cap, reinsurance structure for each and every loss claim, reinsurance structure for each and aggregate claims. The function allows for piecewise pareto slices.

Description

A function to simulate frequency - severity of insurance claims. The function applies severity cap, reinsurance structure for each and every loss claim, reinsurance structure for each and aggregate claims. The function allows for piecewise pareto slices.

Usage

simulate_function(
  numOfSimulations,
  freq_params,
  sev_params,
  seedSetBinary,
  seedValue,
  freqDistr,
  sevDistr,
  paretoSlice,
  pareto_slice_times,
  slice_pareto_alphas,
  slice_pareto_x_ms,
  sevCapBinary,
  sev_cap_amount,
  reinsuranceStructureEEL,
  reinsurance_structure_eel_dedctible_amount,
  reinsurance_structure_eel_limit_amount,
  reinsuranceStructureAL,
  reinsurance_structure_al_dedctible_amount,
  reinsurance_structure_al_limit_amount,
  reinsuranceStructureLimitedReinstatements,
  reinsuranceStructureReinstatementLimit,
  multiprocessing
)

Arguments

numOfSimulations	The number of simulations to run.
freq_params	A vector of the frequency distribution parameters.
sev_params	A vector of the severity distribution parameters.
seedSetBinary	True if there is a fixed seed, otherwise false.
seedValue	The seed value.
freqDistr	The frequency distribution. Options are as per the freq_dist_options.
sevDistr	The severity distribution. Options are as per the sev_dist_options.
paretoSlice	True if there is Pareto slicing.
pareto_slice_times	The number of Pareto slices.
slice_pareto_alphas	A vector of Pareto slices' aphla parameters.
slice_pareto_x_ms	A vector of Pareto slices' x_m parameters.
sevCapBinary	True if there is a severity cap.
sev_cap_amount	The severity cap amount.
reinsuranceStructureEEL	The chosen reinsurance structure for each and every loss claim.
reinsurance_structure_eel_dedctible_amount	The deductible for each and every loss reinsurance structure.
reinsurance_structure_eel_limit_amount	The limit for each and every loss reinsurance structure.
reinsuranceStructureAL	The chosen reinsurance structure for aggregate claims.
reinsurance_structure_al_dedctible_amount	The deductible for aggregate reinsurance structure.
reinsurance_structure_al_limit_amount	The limit for aggregate reinsurance structure.
reinsuranceStructureLimitedReinstatements	True if there is a limit in reinstatements, otherwise false.
reinsuranceStructureReinstatementLimit	The reinstatement limit.
multiprocessing	True if multiprocessing is used, otherwise false.

Value

A data frame with claims counts, ceded claims and the number of reinstatements used.

NetSimR documentation built on Oct. 25, 2023, 1:08 a.m.