swissRe: Swiss Re exposure curve generation function

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

View source: R/data-swissrecurves.R

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)

Example output

Loading required package: fitdistrplus
Loading required package: MASS
Loading required package: survival
Loading required package: alabama
Loading required package: numDeriv
Package:  mbbefd
Version:  0.8.8
Date:     2017-02-21 23:04:00
BugReport: http://github.com/spedygiorgio/mbbefd/issues


[1] 0.02792907

mbbefd documentation built on May 29, 2017, 3:40 p.m.

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