IndividualAggregateDist: Aggregate distribution in the Individual Risk Model

In lucazama/CollectiveRisk: Collective Risk Model Functions.

Description

The function returns the cumulative distribution function of the aggregate claim size.

Usage

IndividualAggregateDist(x, n, dist, par)

Arguments

x	the independent variable P(S<x).
n	The number of policies
dist	the distribution of each single policy (only "Gamma" and "InvGauss" are supported)
par	the parameters of the distribution of each single policy.

Value

The function returns the cumulative distribution function of the aggregate claim size P(S<x)

Note

Other distributions than the Gamma and the Inverse Gaussian might be considered. Nonetheless It might be necessary to use convolutions or approximation methods to compute the CDF.

Examples

1-IndividualAggregateDist(100,10,dist="InvGauss",par= c( 0.05,2.5))

lucazama/CollectiveRisk documentation built on July 25, 2020, 7:22 a.m.