Quantiles of Aggregate Claim Amount Distribution
Quantile and Value-at-Risk methods for objects of class
"aggregateDist".
## S3 method for class 'aggregateDist'
quantile(x,
probs = c(0.25, 0.5, 0.75, 0.9, 0.95, 0.975, 0.99, 0.995),
smooth = FALSE, names = TRUE, ...)
## S3 method for class 'aggregateDist'
VaR(x, conf.level = c(0.9, 0.95, 0.99),
smooth = FALSE, names = TRUE, ...)x |
an object of class |
probs, conf.level |
numeric vector of probabilities with values in [0, 1). |
smooth |
logical; when |
names |
logical; if true, the result has a |
... |
further arguments passed to or from other methods. |
The quantiles are taken directly from the cumulative distribution
function defined in x. Linear interpolation is available for
step functions.
A numeric vector, named if names is TRUE.
Vincent Goulet vincent.goulet@act.ulaval.ca and Louis-Philippe Pouliot
model.freq <- expression(data = rpois(3))
model.sev <- expression(data = rlnorm(10, 1.5))
Fs <- aggregateDist("simulation", model.freq, model.sev, nb.simul = 1000)
quantile(Fs, probs = c(0.25, 0.5, 0.75))
VaR(Fs)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.