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: levf samplemef

Quantlet: mef
Description: returns the values of the mean excess function.

Usage: y = mef (x, ind, param1, param2 {, param3})
Input:
x array, values for which the mean excess function are to be calculated
ind scalar, indicator for the probability distribution if ind=1 - lognormal distribution if ind=2 - gamma distribution if ind=3 - Weibull distribution if ind=4 - Pareto distribution if ind=5 - Burr distribution if ind=6 - mixture of exponential distributions
param1 scalar, mu for lognormal, alpha for Gamma, Weibull, Pareto and Burr distributions, 1/mean of the first exponential distribution in mixture of exponential distributions
param2 scalar, sigma for lognormal, beta for Gamma and Weibull, lambda for Pareto and Burr distributions, 1/mean of the second exponential distribution in mixture of exponential distributions
param3 scalar, just for Burr and mix of exponentials distributions, tau for the Burr distrubution, proportion of the first factor in the exponential mixture
Output:
y array, values of the mean excess function

Example:
library("insurance")
x=#(0.2,0.5)~#(0.7,0.9)
ind=1
param1=0.1
param2=0.5
y = mef(x, ind, param1, param2)
y

Result:
Contents of y

[1,]   1.0527  0.70783
[2,]  0.80255  0.65511



Author: J. Iwanik, 20041215 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006