compressELT: Compress the event loss table

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

Description

Function to merge losses of the same amount adding up their corresponding occurrence rates, and to round the losses to the 10^digits integer value.

Usage

compressELT(ELT, digits = 0)

Arguments

ELT	Data frame containing 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.
digits	Integer. It specifies the rounding of the losses to the 10^digits integer value of the event loss table. digits < 0 decreases the precision of the calculation, but considerably decreases the time to perform it. If digits = 0 it only merges the losses of the same amount adding up their corresponding rates. The default value is digits = 0.

Value

Data frame containg 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.

Examples

data(UShurricane)

# Compress the table to thousands of dollars

USh.k <- compressELT(ELT(UShurricane), digits = -3)
summary(USh.k)

# Compress the table to millions of dollars

USh.m <- compressELT(ELT(UShurricane), digits = -6)
summary(USh.m)

Example output

Loading required package: MASS
$`Data Summary`
       ID            Rate                Loss      
 Min.   :   1   Min.   :1.473e-05   Min.   :    1  
 1st Qu.:1255   1st Qu.:4.235e-05   1st Qu.: 1256  
 Median :2509   Median :1.268e-04   Median : 2664  
 Mean   :2509   Mean   :1.243e-03   Mean   : 3834  
 3rd Qu.:3763   3rd Qu.:6.863e-04   3rd Qu.: 5384  
 Max.   :5017   Max.   :1.957e-01   Max.   :24392  

$`Summary Statistics`
    E[N(1)]    Sd[N(1)]        E[Y]       Sd[Y]     E[S(1)]    Sd[S(1)] 
   6.233921    2.496782 1012.091722 1781.941291 6309.299700 5116.664045 

$`Data Summary`
       ID             Rate                Loss      
 Min.   : 1.00   Min.   :0.0000147   Min.   : 1.00  
 1st Qu.: 5.75   1st Qu.:0.0018310   1st Qu.: 5.75  
 Median :10.50   Median :0.0133587   Median :10.50  
 Mean   :10.50   Mean   :0.1487092   Mean   :10.75  
 3rd Qu.:15.25   3rd Qu.:0.0412603   3rd Qu.:15.25  
 Max.   :20.00   Max.   :1.7514890   Max.   :24.00  

$`Summary Statistics`
 E[N(1)] Sd[N(1)]     E[Y]    Sd[Y]  E[S(1)] Sd[S(1)] 
2.974183 1.724582 2.041510 2.141417 6.071824 5.102381 

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