knitr::opts_chunk$set( collapse = TRUE, comment = "#>", fig.path = "man/figures/README-", out.width = "100%" )
The layers
package provides a simple library for doing common reinsurance calculations outside of Analyze Re.
You can install the development version of layers
from GitHub with:
# install.packages("devtools") devtools::install_github("jfkingiii/layers")
If using Windows, Rtools should be installed: https://cran.r-project.org/bin/windows/Rtools/
Use the included sample YELT, yelt_test
, to try out some of the layers
functions.
library(layers) # Look at the help files help(package = layers) # Look at the AAL by line AAL(yelt_test) # Create some layers and get their metrics options(scipen = 999) test_layer <- layer(4000000, 1000000, 1, "yelt_test", lobs=c("PHYSICIANS", "CHC", "MEDCHOICE")) gross_layer <- layer(UNLIMITED, 0, 1, "yelt_test", lobs=c("PHYSICIANS", "CHC", "MEDCHOICE", "HOSPITAL")) # Aggregate limits and deductibles are optional and default to UNLIMITED and 0. # Notice the `Sign` value which can be changed using the `minus` function. # This allows combining layers by adding and subtracting when building portfolios. test_layer gross_layer summary(test_layer) summary(gross_layer) # Test some OEPs VaR(gross_layer, 5, "OEP") VaR(gross_layer, 10, "OEP") VaR(test_layer, 15, "OEP") VaR(test_layer, 20, "OEP") # Try a layer with aggregate parameters agg_layer <- layer(4000000, 1000000, 1, "yelt_test", lobs=c("PHYSICIANS","CHC","MEDCHOICE"), agg_attachment = 4000000, agg_limit = 12000000) summary(agg_layer) # Portolio expected losses layer1 <- layer(100000, 100000, 1, "yelt_test", lobs="PHYSICIANS") layer2 <- layer(100000, 200000, 1, "yelt_test", lobs="PHYSICIANS") layer3 <- layer(100000, 300000, 1, "yelt_test", lobs="PHYSICIANS") P <- portfolio(layer1, layer2, layer3) expected(layer1) + expected(layer2) + expected(layer3) expected(P) # Use a portfolio as an argument to portfolio ceded <- portfolio(layer1, layer2, layer3) net <- portfolio(gross_layer, minus(ceded)) expected(gross_layer) - expected(ceded) expected(net) summary(net)
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