Description Usage Arguments Value Author(s) References Examples
Generates Monte Carlo VaR for insurance portfolio in Chapter 6.5
1 | InsuranceVaR(mu, sigma, n, p, theta, deductible, number.trials, cl)
|
mu |
Mean of returns |
sigma |
Volatility of returns |
n |
Number of contracts |
p |
Probability of any loss event |
theta |
Expected profit per contract |
deductible |
Deductible |
number.trials |
Number of simulation trials |
cl |
VaR confidence level |
VaR of the specified portfolio
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 | # Estimates VaR of Insurance portfolio with given parameters
InsuranceVaR(.8, 1.3, 100, .6, 21, 12, 50, .95)
|
Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[1] 68.68769
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.