mbbefdExposure: MBBEFD exposure curves and its derivative
Description
The functions evaluate MBBEFD distribution exposure curve (and its derivative).
An exposure curve is defined between x between 0 and 1 and represents the ratio of the limited expected value to unlimited expected value
Usage
mbbefdExposure(x, a, b, g)
dG(x, a, b, g)
ecbeta(x, shape1, shape2)
ecunif(x, min = 0, max =1)
Arguments
x
x value, percentage of damage to total loss
a
a parameter
b
b parameter
g
g parameter, used if a not given.
shape1, shape2
parameters for the beta distribution.
min, max
parameters for the uniform distribution.
Value
A numeric value
Details
g parameter is the inverse of total loss probability and it is used if a not given.
ecbeta, ecunif is the theoretical exposure curve function for beta and uniform distribution.
References
BERNEGGER, STEFAN. THE SWISS RE EXPOSURE CURVES AND THE MBBEFD DISTRIBUTION CLASS. Astin Bulletin (1997): 99.