losses | R Documentation |
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.
data("fire")
data("DNB")
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).
Marius Hofert
fire
:Originally Mette Rytgaard (Copenhagen Re).
DNB
:Originally Kjersti Aas and Giovanni Puccetti.
Aas, K. and Puccetti, G. (2014). Bounds for total economic capital: the DNB case study. Extremes 17(4), 693–715.
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))
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.