VaR and ES of Insurance Portfolio

Description

Generates Monte Carlo VaR and ES for insurance portfolio.

Usage

InsuranceVaRES(mu, sigma, n, p, theta, deductible, number.trials, cl)

Arguments

Value

A list with "VaR" and "ES" of the specified portfolio

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# Estimates VaR and ES of Insurance portfolio with given parameters
   y<-InsuranceVaRES(.8, 1.3, 100, .6, 21,  12, 50, .95)

Results

R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

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Type 'demo()' for some demos, 'help()' for on-line help, or
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> library(Dowd)
Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: timeDate
This is forecast 7.1 

> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/Dowd/InsuranceVaRES.Rd_%03d_medium.png", width=480, height=480)
> ### Name: InsuranceVaRES
> ### Title: VaR and ES of Insurance Portfolio
> ### Aliases: InsuranceVaRES
> 
> ### ** Examples
> 
> # Estimates VaR and ES of Insurance portfolio with given parameters
>    y<-InsuranceVaRES(.8, 1.3, 100, .6, 21,  12, 50, .95)
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>