actuar (version 3.3-4)

quantile.aggregateDist: Quantiles of Aggregate Claim Amount Distribution

Description

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

Usage

# S3 method for 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 aggregateDist
VaR(x, conf.level = c(0.9, 0.95, 0.99),
         smooth = FALSE, names = TRUE, ...)

Value

A numeric vector, named if names is 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.

Author

Vincent Goulet and Louis-Philippe Pouliot

Details

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

See Also

aggregateDist

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)