panjer: Panjer approximation

In lucazama/CollectiveRisk: Collective Risk Model Functions.

Description

Computes the Panjer approximation to P(S>m) where S is the aggregate claim distribution resulting from a claim frequency distribution in the (a,b,0) class and any continuous claim intensity distribution.

Usage

panjer(fx, dist, par, step, m)

Arguments

fx	continuous Probability distribution Function (CDF) for the claim intensities.
dist	c("Poisson","NegBin", "Binomial")
par	vector of parameters of the claim frequency distributions (as ordered as in the built in PDF function)
step	width of the discretization (for a computing time lower than a couple of minutes choose step such that m/step <20000)
m	probability to approximate P(S>m)

Value

the function returns the upper and lower bound probabilities. The thinner the grid (lower the step) the closer the two bounds will get.

Examples

panjer(fx=function(x) pgamma(x,40,2), dist="Poisson", par=30, step=0.1, 900)

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