InsuranceVaRES {Dowd}

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)