search for: simpf

...the discretized cdf; 4. first moment matching of the discretized and true distributions. Usage is similar to curve() of package 'graphics'. Again, the modular conception allows for easy inclusion of additional discretization methods. NEW FEATURES -- CREDIBILITY THEORY o Function simpf() can now simulate data for hierarchical portfolios of any number of levels. Model specification changed completely; see the "Deprecated, defunct or no backward compatibility" below. The function is also significantly (~10x) faster than the previous version. o Generic function se...

...the discretized cdf; 4. first moment matching of the discretized and true distributions. Usage is similar to curve() of package 'graphics'. Again, the modular conception allows for easy inclusion of additional discretization methods. NEW FEATURES -- CREDIBILITY THEORY o Function simpf() can now simulate data for hierarchical portfolios of any number of levels. Model specification changed completely; see the "Deprecated, defunct or no backward compatibility" below. The function is also significantly (~10x) faster than the previous version. o Generic function se...

...hen 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(), severity() and weights() for objects of class "simpf" gain two new arguments: 1. 'classification'; when TRUE, the columns giving the classification structure of the portfolio are excluded from the result. This eases calculation of loss ratios (aggregate claim amounts divided by the weights); 2. 'pr...

...hen 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(), severity() and weights() for objects of class "simpf" gain two new arguments: 1. 'classification'; when TRUE, the columns giving the classification structure of the portfolio are excluded from the result. This eases calculation of loss ratios (aggregate claim amounts divided by the weights); 2. 'pr...