Description Usage Arguments Details Author(s) See Also Examples

View source: R/fitSplicedBestFit.R

A spliced distribution is fitted based on given loss data and required distributions for the body and the tail using a best-fit method. The function returns a sevdist object with type "spliced".

1 | ```
fitSplicedBestFit(cell, body, tail, thresh0 = 0.7, thresh.max = 0.98)
``` |

`cell` |
List containing the loss data in cell$Loss. |

`body` |
Character string giving the name of the distribution in the body. Can be chosen between "gamma", "lnorm", "weibull" or "erlang". |

`tail` |
Character string giving the name of the distribution in the tail. Can be chosen between "gpd", "gamma", "lnorm", "weibull" or "gh". |

`thresh0` |
Initial value for the quantile of the threshold between body and tail |

`thresh.max` |
Terminal value for the quantile of the threshold between body and tail |

Starting with a spliced distribution with threshold given by the quantile thresh0, the respective parameters of the given body and tail distribution are fitted, as well as the weights of both parts. A list of possible thresholds is given by all loss values between all quantiles between thresh0 and thresh.max. For each of these thresholds a spliced distribution will be fitted and then the best fitting threshold with the corresponding parameters will be chosen with a Kolmogorow-Smirnov test and the result is returned in a sevdist object with type "spliced".

Christina Zou

fitSplicedPar, fitThreshold, fitSpliced

1 2 3 4 5 6 7 8 | ```
data(lossdat)
## Not run:
param<-fitSplicedBestFit(lossdat[[1]], "lnorm", "gpd")
param[[1]] ## Parameters of the body distribution
param[[2]] ## Parameters of the tail distribution
## End(Not run)
``` |

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