Displaying 8 results from an estimated 8 matches for "panjer".
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2005 Jul 20
2
Issues with convolve
We obtained some disturbing results from convolve() (inaccuracies and negative
probabilities). We'll try to make the context clear in as few lines as
possible...
Our function panjer() (code below) basically computes recursively the
probability mass function of a compound Poisson distribution. When the
Poisson parameter lambda is very large, the starting value of the recursive
scheme --- the mass at 0 --- is 0 and the recursion fails. One way to solve
this problem is to div...
2012 Nov 06
0
Algoritmo de Panjer
...> fx<-discretize(pgamma(x,shape=2.4149,scale=5742.2),
+ method="rounding",from=0, to =100, step=0.5)
> Fs <- aggregateDist("recursive", model.freq = "negative binomial",
+ model.sev = fx, size= 42.97, prob=0.5, x.scale = 500)
Mensajes de aviso perdidos
In panjer(fx = model.sev, dist = dist, p0 = p0, x.scale = x.scale, :
maximum number of recursions reached before the probability distribution was complete
Gracias de antemano,
Antoni Ferri Vidal
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2013 Jun 28
0
"actuar" package query
I run the following:
library(actuar)
x <- seq(0, 22, 0.5)
fl <- discretize(plnorm(x, 2.1), from = 0, to = 22, step = 0.5, method
="lower")
Fs <- aggregateDist("recursive", model.freq = "poisson",model.sev = fl,
lambda = 10, x.scale = 0.5)
Warning message:
In panjer(fx = model.sev, dist = dist, p0 = p0, x.scale = x.scale, :
maximum number of recursions reached before the probability distribution
was complete
# Should i be worried about the warning message.
# How do i choose the domain of the x function bearing in mind that the
original severity data was r...
2007 Apr 23
0
New version of actuar
...o compute the
cumulative distribution function of the total amount of claims
random variable for an insurance portfolio using any of the
following five methods:
1. exact calculation by convolutions (using function convolve() of
package 'stats';
2. recursive calculation using Panjer's algorithm;
3. normal approximation;
4. normal power approximation;
5. simulation.
The modular conception of aggregateDist() allows for easy inclusion
of additional methods. There are special methods of print(),
summary(), quantile() and mean() for objects of class
"aggrega...
2007 Apr 23
0
New version of actuar
...o compute the
cumulative distribution function of the total amount of claims
random variable for an insurance portfolio using any of the
following five methods:
1. exact calculation by convolutions (using function convolve() of
package 'stats';
2. recursive calculation using Panjer's algorithm;
3. normal approximation;
4. normal power approximation;
5. simulation.
The modular conception of aggregateDist() allows for easy inclusion
of additional methods. There are special methods of print(),
summary(), quantile() and mean() for objects of class
"aggrega...
2006 Jun 12
2
Fitting Distributions Directly From a Histogram
Dear All,
A simple question: packages like fitdistr should be ideal to analyze
samples of data taken from a univariate distribution, but what if
rather than the raw data of the observations you are given directly
and only a histogram?
I was thinking about generating artificially a set of data
corresponding to the counts binned in the histogram, but this sounds
too cumbersome.
Another question is
2007 Nov 16
0
New version of actuar
...credibility" demo moved to
demo "simulation".
USER-VISIBLE CHANGES
o Argument 'approx.lin' of quantile.aggregateDist() renamed
'smooth'.
o Function aggregateDist() gains a 'maxit' argument for the maximum
number of recursions when using Panjer's algorithm. This is to
avoid infinite recursion when the cumulative distribution
function does not converge to 1.
o Function cm() gains a 'maxit' argument for the maximum number of
iterations in pseudo-estimators calculations.
o Methods of aggregate(), frequency(...
2007 Nov 16
0
New version of actuar
...credibility" demo moved to
demo "simulation".
USER-VISIBLE CHANGES
o Argument 'approx.lin' of quantile.aggregateDist() renamed
'smooth'.
o Function aggregateDist() gains a 'maxit' argument for the maximum
number of recursions when using Panjer's algorithm. This is to
avoid infinite recursion when the cumulative distribution
function does not converge to 1.
o Function cm() gains a 'maxit' argument for the maximum number of
iterations in pseudo-estimators calculations.
o Methods of aggregate(), frequency(...