Description Usage Arguments Value

function to generate ranks that have been simply reordered with a Gaussian copula or conditionally reordered with Gaussian copula stressed scenarios from a base Gaussian copula.

1 2 3 | ```
conditionalReordering(n, list.correlation.matrix, name,
scenario.probability = NULL, region.boundaries = NULL,
region.probability = NULL, keep.realized.scenario = F)
``` |

`n` |
positive numeric value of length one. The number of ranks to produce (equal to the number of simulations of the model). |

`list.correlation.matrix` |
list of correlation matrices, the correlation matrix
corresponding to the base normal copula should be provided as a named member "base" in the
list (and in first position). the rest of the scenarios should be named in the list by a unique identifier that
should match the column names of the argument |

`name` |
character value of length between 0 and 4. It should indicate the names of the subset of risks among: market life health nonlife
that are aggregated together with the reordering algorithm. The order of risks in this vector
should respect the order defined in the correlation matrices in |

`scenario.probability` |
numeric value giving the scenario probabilities (these probabilities should
be provided in the same order as the the order of scenarios in |

`region.boundaries` |
matrix with named columns and rows giving the thresholds
for each regions (boundaries of the scenario rectangles). Each line represents a given scenario and each column a given quantity
to reorder. The rownames should match the scenario names and the colnames should match the
risks respecting the order prescribed in both |

`region.probability` |
numeric vector giving the probability under the base Gaussian copula (characterized by the correlation matrix named "base") to hit the scenario regions given by each line in regions.boundary. |

`keep.realized.scenario` |
logical value. Should we keep the realized scenario for each line? |

a `data.table`

with the final ranks (between 0 and 1) with which we should reorder the given simulations.

sstModel documentation built on May 4, 2018, 1:04 a.m.

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