losses: Loss Datasets

Description Usage Format Author(s) Source References Examples

Description

Danish fire insurance claims in 1M DKK in Denmark from 1980-01-03 to 1990-12-31. Largest 1% of simulated losses of Norwegian bank DNB.

Usage

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data("fire")
data("DNB")

Format

fire:

univariate xts object with 2167 observations.

DNB:

(25000, 3)-matrix containing the largest 1% of simulated (market risk, credit risk, asset risk) losses of DNB; see Aas and Puccetti (2014, Section 2).

Author(s)

Marius Hofert

Source

fire:

Originally Mette Rytgaard (Copenhagen Re).

DNB:

Originally Kjersti Aas and Giovanni Puccetti.

References

Aas, K. and Puccetti, G. (2014). Bounds for total economic capital: the DNB case study. Extremes 17(4), 693–715.

Examples

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library(xts)
## Danish fire losses
data("fire")
str(fire)
stopifnot(inherits(fire, "xts"), length(fire) == 2167)
plot.zoo(fire, ylab = "Fire insurance claim")

## Largest 1% of simulated DNB losses
data("DNB")
stopifnot(dim(DNB) == c(25000, 3))

Example output

Loading required package: zoo

Attaching package:zooThe following objects are masked frompackage:base:

    as.Date, as.Date.numeric

Anxtsobject on 1980-01-03 05:00:00/1990-12-31 05:00:00 containing:
  Data: num [1:2167, 1] 1.68 2.09 1.73 1.78 4.61 ...
 - attr(*, "dimnames")=List of 2
  ..$ : NULL
  ..$ : chr "Loss"
  Indexed by objects of class: [POSIXct,POSIXt] TZ: 
  xts Attributes:  
 NULL

qrmdata documentation built on Jan. 11, 2020, 9:27 a.m.

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