crmt: CRMT

In adreid3/rcrmt: What the package does (short line)

Usage

crmt(IndustryIndex, Within, Retention, Deductible, Claims, Above, Iterations, CDF_tmp, Curr, LoCPerc, AggDedPerc)

Arguments

IndustryIndex	Identifies which ILF curve to use.
Within	="Yes"
Retention	=500'000
Deductible	=50'000
Claims	=50
Above	="Above Non-Ranking"
Iterations	=1000
CDF_tmp	=CDF
Curr	="USD"
LoCPerc	=85
AggDedPerc	=97.5

Examples

##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--	or do  help(data=index)  for the standard data sets.

## The function is currently defined as
function (IndustryIndex, Within, Retention, Deductible, Claims, 
    Above, Iterations, CDF_tmp, Curr, LoCPerc, AggDedPerc) 
{
    ptm <- proc.time()
    xrtoUSD <- Xrates[Xrates[1] == Curr, 2]
    RetentionUSD <- Retention * xrtoUSD
    DeductibleUSD <- Deductible * xrtoUSD
    UpperLimit = ifelse(Within == "Yes", RetentionUSD, RetentionUSD + 
        DeductibleUSD)
    if (Above == "Ground Up") 
        GUClaims = Claims
    else GUClaims = Claims/(1 - approx(CDF_tmp[, 1], CDF_tmp[, 
        1 + IndustryIndex], DeductibleUSD)$y)
    N <- array(0, dim = c(Iterations))
    if (GUClaims < 75) 
        N <- rpois(Iterations, GUClaims)
    else N <- rnorm(Iterations, GUClaims, sqrt(GUClaims))
    MaxN <- max(N)
    Losses <- array(0, dim = c(MaxN, Iterations))
    for (i in seq(from = 1, to = Iterations, by = 1)) {
        if (N[i] > 0) 
            Losses[1:N[i], i] <- approx(CDF_tmp[, 1 + IndustryIndex], 
                CDF_tmp[, 1], runif(N[i]))$y
    }
    LossesInLayer <- pmax((pmin(Losses, UpperLimit) - Deductible), 
        0)
    AggregateLossInLayer <- colSums(LossesInLayer, dim = 1)
    MeanLoss <- mean(AggregateLossInLayer)
    LoC <- quantile(x = AggregateLossInLayer, probs = LoCPerc/100, 
        na.rm = TRUE)/MeanLoss
    AggDed <- quantile(x = AggregateLossInLayer, probs = AggDedPerc/100, 
        na.rm = TRUE)/MeanLoss
    Elapsedtime <- proc.time() - ptm
    MeanLossOrig <- MeanLoss/xrtoUSD
    list(dist = AggregateLossInLayer/xrtoUSD, stats = c(`Mean LC` = MeanLossOrig, 
        `Ratio LoC to Mean` = LoC[[1]], LoC = MeanLossOrig * 
            LoC[[1]], `Ratio Agg Ded to Mean` = AggDed[[1]], 
        `Agg Ded` = MeanLossOrig * AggDed[[1]], `GU Claims` = GUClaims, 
        `Simulation time` = Elapsedtime[3]))
  }

adreid3/rcrmt documentation built on May 14, 2019, 6:09 a.m.