simulation: Simulation of Aggregate Claim Size

In lucazama/CollectiveRisk: Collective Risk Model Functions.

Description

The function simulates the aggregate claim size distribution

Usage

simulation(distN, distY, parN, parY, n)

Arguments

distN	For now distN= c("NegBin","Binomial","Poisson")
distY	For now distY= c("Gamma", "Exponential","LogNormal","Weibull", "Pareto", "TruncLogNormal","TruncWeibull").
parN	the parameters of the chosen counting distribution
parY	the parameters of the chosen claim intensities distribution.
n	the number of simulations.

Value

The function returns the simulations of S. If you want to compute the probability P(S<m) you can simply run the following command mean(S<m)

Note

Confidence intervals still to be added (along with more distributions, and truncated versions as well)

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