InsuranceVaRES: VaR and ES of Insurance Portfolio
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Generates Monte Carlo VaR and ES for insurance portfolio.

1	InsuranceVaRES(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

A list with "VaR" and "ES" of the specified portfolio

Dinesh Acharya

Dowd, K. Measuring Market Risk, Wiley, 2007.

1 2	# Estimates VaR and ES of Insurance portfolio with given parameters y<-InsuranceVaRES(.8, 1.3, 100, .6, 21, 12, 50, .95)

Dowd documentation built on May 2, 2019, 6:15 p.m.

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