InsuranceVaRES {Dowd} | R Documentation |
VaR and ES of Insurance Portfolio
Description
Generates Monte Carlo VaR and ES for insurance portfolio.
Usage
InsuranceVaRES(mu, sigma, n, p, theta, deductible, number.trials, cl)
Arguments
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 |
Value
A list with "VaR" and "ES" of the specified portfolio
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
# Estimates VaR and ES of Insurance portfolio with given parameters
y<-InsuranceVaRES(.8, 1.3, 100, .6, 21, 12, 50, .95)
[Package Dowd version 0.12 Index]