ELT: Event Loss Table

In tailloss: Estimate the Probability in the Upper Tail of the Aggregate Loss Distribution

Description

Function to create an ELT object

Usage

ELT(X = NULL, Rate = NULL, Loss = NULL, ID = NULL)

Arguments

X	Data frame containing at least two numeric columns. The column Loss contains the expected losses from each single occurrence of event. The column Rate contains the arrival rates of a single occurrence of event.
Rate	Positive numeric vector of arrival rates
Loss	Positive numeric vector of losses
ID	Vector event ID.

Value

An object ELT, a data frame with 3 columns. The column ID contains the ID of each event. The column Rate contains the arrival rates of a single occurrence of event. The column Loss contains the expected losses from each single occurrence of event.

See Also

data.frame

Examples

rate <- c(.1, .02, .05)
loss <- c(2, 5, 7)

ELT(Rate = rate, Loss = loss)
# Same as
rl <- data.frame(Rate = rate, Loss = loss)
ELT(rl)

Example output

Loading required package: MASS
  ID Rate Loss
1  1 0.10    2
2  2 0.02    5
3  3 0.05    7
  ID Rate Loss
1  1 0.10    2
2  2 0.02    5
3  3 0.05    7

tailloss documentation built on May 2, 2019, 4:18 a.m.