loss.dist-methods: Calculating the loss distribution

Description See Also


This method uses an algorithm from Gundlach/Lehrbass p.74f to compute the loss distribution. A small modification on the structure of the two loops was done to compute the CDF parallel to the PDF and stop if a desired level is reached. Data a and B (corresponding to alpha and b in Gundlach/Lehrbass p.74), necessary for risk contributions, will be erased at the end if calc.rc=FALSE and save.memory=TRUE.

See Also

rc.vares, crp.CSFP-class, crp.CSFP,

crp.CSFP documentation built on May 1, 2019, 8:50 p.m.