IndividualAggregateDist2: 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. in this model specification there are n policies X and each policy is in the form X=I*B. Where I is the indicator function (bernoulli(q)) and B is either a Gamma or an Inverse Gaussian random variable (describing claim intensity given occurrence).

Usage

IndividualAggregateDist2(x, n, dist, par, q)

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

IndividualAggregateDist2(50,200,dist="Gamma",par=c(1,0.5),q=0.1)

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