mbbefd (version 0.8.13)

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)

Value

A named two dimensional vector

Arguments

c

A numeric value

Author

Giorgio Spedicato

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 (1997). The Swiss Re Exposure Curves And The MBBEFD Distribution Class, ASTIN Bulletin, 27(1), pp99-111, tools:::Rd_expr_doi("https://doi.org/10.2143/AST.27.1.563208").

See Also

mbbefd-distr.

Examples

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