XploRe Help : INSadjR0

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	insurance
See also:	INSadjR0 INScordiffin

Quantlet:		INSadjR0
Description:		produces adjustment coefficient R0 in insurance collective risk model.

Reference(s):

P. Cizek, W. Haerdle, R. Weron (2004): "Statistical Tools for Finance and Insurance"

Usage:	`R0 = INSadjR0(R, theta, distrib, dparameters)`
Input:
	`R`	scalar, adjustment coefficient in insurance collective risk model
	`theta`	scalar, security loading in insurance collective risk model
	`distrib`	string, name of light-tailed distribution of claims, either gamma, exponential or mixofexps
	`dparameters`	list of scalars, parameters of loss distribution
Output:
	`R0`	scalar, adjustment coefficient R0 for loss distribution

Note:

In this example the loss distribution is gamma and safety loading 0.3. The adjustment coefficient exists only in the case of light-tailed loss distributions (when the moment generating function exists).

Example:

library("insurance") library("distribs") distrib = "gamma" dparameters = list(0.2,0.7) theta = 0.3 R = INSadjR(theta, distrib, dparameters) R0 = INSadjR0(R, theta, distrib, dparameters) R R0

Result:

Contents of R
[1,]   0.25402

     Contents of R0
     [1,]   0.13747

Author: P. Mista, 20031218 license MD*Tech