Library: | insurance |
See also: | INSgam INSlogn INSpareto INSbur |
Quantlet: | INSwei | |
Description: | returns the pure risk premium for Weibull distribution of losses. |
Usage: | y = INSwei(b,d2,d1,c,m2,m1,alpha,beta,ind) | |
Input: | ||
b | n x 1 vector, deductible (in case of fixed deductible, franchise deductible or proportional deductible) | |
d2 | n x 1 vector, maximum amount, d2>d1, of linear reduction for disappearing deductible | |
d1 | scalar, minimum amount of linear reduction for disappearing deductible | |
c | scalar, deductible (in case of limited proportional deductible) | |
m2 | n x 1 vector, maximum amount, m2>m1, for limited proportional deductible | |
m1 | scalar, minimum amount for limited proportional deductible | |
alpha | scalar, parameter alpha from Weibull distribution | |
beta | scalar, parameter beta from Weibull distribution | |
ind | scalar, if ind=1, franchise deductible if ind=2, fixed amount deductible if ind=3, proportional deductible if ind=4, limited proportional deductible if ind=5, disappearing deductible | |
Output: | ||
y | n x 1 vector, value of pure risk premium for Weibull distribution of losses |
library("insurance") library("distribs") library("plot") alpha=0.4525 ;alpha parameter in Weibull distribution beta=6.8915*(10^5) ;beta parameter in Weibull distribution a=(0:100)*1000000 ;argument in payment functions u1=INSwei(a,0,0,0,0,0,alpha,beta,1) u2=INSwei(a,0,0,0,0,0,alpha,beta,2) scal=1000000 d1=setmask(a/scal~u1/scal,"line","black") d2=setmask(a/scal~u2/scal,"line","red") disp=createdisplay(1,1) show(disp,1,1,d1,d2) setgopt(disp,1,1,"xmajor",50,"ymajor",0.5) setgopt(disp,1,1,"yvalue",0|1) setgopt(disp,1,1,"xvalue",0|1) setgopt(disp,1,1, "xlabel", "Deductible(USD million)", "ylabel", " Premium(USD million)") setgopt(disp,1,1,"border",0) setgopt(disp,1,1,"title","Pure Risk Premium - Weibull")
Plot of pure risk premium under franchise deductible (black) and fixed amount deductible (red).
library("insurance") library("distribs") library("plot") alpha=0.4525 ;alpha parameter in Weibull distribution beta=6.8915*(10^5) ;beta parameter in Weibull distribution m2=(10:100)*1000000 ;argument in payment functions c1=0.2 ;parameters c and m1 in the case of limited proportional deductible c2=0.4 m11=1000000 m12=500000 u1=INSwei(0,0,0,c1,m2,m11,alpha,beta,4) u2=INSwei(0,0,0,c2,m2,m11,alpha,beta,4) u3=INSwei(0,0,0,c1,m2,m12,alpha,beta,4) u4=INSwei(0,0,0,c2,m2,m12,alpha,beta,4) scal=1000000 d1=setmask(m2/scal~u1/scal,"line","black") d2=setmask(m2/scal~u2/scal,"line","red") d3=setmask(m2/scal~u3/scal,"line","green") d4=setmask(m2/scal~u4/scal,"line","blue") disp=createdisplay(1,1) show(disp,1,1,d1,d2,d3,d4) setgopt(disp,1,1,"xmajor",50,"ymajor",0.5) setgopt(disp,1,1,"yvalue",0|1) setgopt(disp,1,1,"xvalue",0|1) setgopt(disp,1,1, "xlabel", "Deductible(USD million)", "ylabel", " Premium(USD million)") setgopt(disp,1,1,"border",0) setgopt(disp,1,1,"title","Pure Risk Premium - Weibull")
Plots of pure risk premium under limited proportional deductible for parameters c1,m11 (black), c2,m11 (red), c1,m12 (green) and c2,m12 (blue).