swissRe: Swiss Re exposure curve generation function

Description Usage Arguments Details Value Author(s) References See Also Examples

Description

This function turns out the MBBEFD b and g parameters for the famous Swiss Re (SR) exposure curves.

Usage

1

Arguments

c

A numeric value

Details

The four Swiss Re Y1-Y4 are defined for c=1.5, 2, 3, 4. In addition c=5 coincides with a curve used by Lloyds for industrial risks exposure rating.

Value

A named two dimensional vector

Author(s)

Giorgio Spedicato

References

BERNEGGER, STEFAN. THE SWISS RE EXPOSURE CURVES AND THE MBBEFD DISTRIBUTION CLASS. Astin Bulletin (1997): 99.

See Also

mbbefd-distr.

Examples

1
2
3
pars <- swissRe(4)
losses <- rMBBEFD(n=1000,b=pars[1],g=pars[2])
mean(losses)


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