swissRe {mbbefd} | R Documentation |
Swiss Re exposure curve generation function
Description
This function turns out the MBBEFD b and g parameters for the famous Swiss Re (SR) exposure curves.
Usage
swissRe(c)
Arguments
c |
A numeric value |
Details
The four Swiss Re Y1-Y4 are defined for c=1.5, 2, 3, 4. In addition c=5 coincides with a curve used by Lloyds for industrial risks exposure rating.
Value
A named two dimensional vector
Author(s)
Giorgio Spedicato
References
BERNEGGER, STEFAN (1997). The Swiss Re Exposure Curves And The MBBEFD Distribution Class, ASTIN Bulletin, 27(1), pp99-111, doi:10.2143/AST.27.1.563208.
See Also
Examples
pars <- swissRe(4)
losses <- rMBBEFD(n=1000,b=pars[1],g=pars[2])
mean(losses)
[Package mbbefd version 0.8.11 Index]