mbbefd (version 0.7)

swissRe: Swiss Re exposure curve generation function

Description

This function turns out the MBBEFD b and g parameters for the famous Swiss Re (SR) exposure curves.

Usage

swissRe(c)

Arguments

c

A numeric value

Value

• A named two dimensional vector

Details

The four Swiss Re Y1-Y4 are defined for c=1.5, 2, 3, 4. In addition c=5 coincides with a curve used by Lloyds for industrial risks exposure rating.

References

BERNEGGER, STEFAN. THE SWISS RE EXPOSURE CURVES AND THE MBBEFD DISTRIBUTION CLASS. Astin Bulletin (1997): 99.

See Also

dmbbefd

Examples

pars<-swissRe(4)
losses<-rmbbefd(n=1000,b=pars[1],g=pars[2])
mean(losses)