R: Quantiles of Aggregate Claim Amount Distribution

quantile.aggregateDist {actuar}

R Documentation

Quantiles of Aggregate Claim Amount Distribution

Description

Quantile and Value at Risk methods for objects of class "aggregateDist".

Usage

## 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, ...)

Arguments

`x`	an object of class `"aggregateDist"`.
`probs, conf.level`	numeric vector of probabilities with values in [0, 1).
`smooth`	logical; when `TRUE` and `x` is a step function, quantiles are linearly interpolated between knots.
`names`	logical; if true, the result has a `names` attribute. Set to `FALSE` for speedup with many `probs`.
`...`	further arguments passed to or from other methods.

Details

The quantiles are taken directly from the cumulative distribution function defined in x. Linear interpolation is available for step functions.

Value

A numeric vector, named if names is TRUE.

Author(s)

Vincent Goulet vincent.goulet@act.ulaval.ca and Louis-Philippe Pouliot

Examples

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)

[Package actuar version 1.0-2 Index]