tVaR: Compute tail value at risk for the losses in the layer.

In jfkingiii/layers: Reinsurance Layers and Metrics

Description

Compute tail value at risk for the losses in the layer.

Usage

tVaR(object, rp_years, type = c("AEP", "OEP"))

## S3 method for class 'layer'
tVaR(object, rp_years, type = c("AEP", "OEP"))

## S3 method for class 'portfolio'
tVaR(object, rp_years, type = c("AEP", "OEP"))

Arguments

object	the layer or portfolio to computer VaR with.
rp_years	Number of years in the return period
type	AEP (aggregate exceedance probability)or OEP (occurrence exceedance probability). Defaults to AEP.

Examples

gross_layer <- layer(UNLIMITED, 0, 1, "yelt_test", lobs=c("PHYSICIANS","CHC","MEDCHOICE"))
tVaR(gross_layer, 25)
tVaR(gross_layer, 25, "AEP") # the same thing
tVaR(gross_layer, 25, "OEP")

jfkingiii/layers documentation built on July 21, 2020, 8:57 p.m.