PureIBNRGamma {NetSimR}

Pure IBNR exposure from a Gamma reporting delay distribution

Description

Pure IBNR exposure from a Gamma reporting delay distribution

Usage

PureIBNRGamma(IncDate, ExpDate, ValDate, shape, rate)

Arguments

IncDate

A date - the inception date of the period.

ExpDate

A date - the expiry date of the period. Must be greater than inception date.

ValDate

A date - the valuation date.

shape

A positive real number - the shape parameter of the reporing delay's Gamma distribution.

rate

A positive real number - the rate parameter of the reporing delay's Gamma distribution.

Value

Unearned and Pure IBNR exposure in days and as a percentage of the period's duration, where the reporting delay has a Gamma distribution with parameters shape and rate.

Examples

Dates = data.frame(
    inceptionDate = c("01/01/2006", "01/07/2006", "01/01/2007")
    ,expiryDate = c("31/12/2006", "30/06/2007", "31/12/2007")
)

Dates$inceptionDate<-as.POSIXct(Dates$inceptionDate, format="%d/%m/%Y")

Dates$expiryDate<-as.POSIXct(Dates$expiryDate, format="%d/%m/%Y")

ValuationDate<-as.POSIXct("30/10/2007", format="%d/%m/%Y")

PureIBNRGamma(Dates$inceptionDate,Dates$expiryDate,ValuationDate,7,0.15)