[Returnanalytics-commits] r3898 - pkg/Dowd/man

[noreply at r-forge.r-project.org]

Author: dacharya
Date: 2015-08-03 22:11:52 +0200 (Mon, 03 Aug 2015)
New Revision: 3898

Added:
   pkg/Dowd/man/InsuranceVaRES.Rd
Log:
Function InsuranceVaR added.

Added: pkg/Dowd/man/InsuranceVaRES.Rd
===================================================================
--- pkg/Dowd/man/InsuranceVaRES.Rd	                        (rev 0)
+++ pkg/Dowd/man/InsuranceVaRES.Rd	2015-08-03 20:11:52 UTC (rev 3898)
@@ -0,0 +1,42 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/InsuranceVaRES.R
+\name{InsuranceVaRES}
+\alias{InsuranceVaRES}
+\title{VaR and ES of Insurance Portfolio}
+\usage{
+InsuranceVaRES(mu, sigma, n, p, theta, deductible, number.trials, cl)
+}
+\arguments{
+\item{mu}{Mean of returns}
+
+\item{sigma}{Volatility of returns}
+
+\item{n}{Number of contracts}
+
+\item{p}{Probability of any loss event}
+
+\item{theta}{Expected profit per contract}
+
+\item{deductible}{Deductible}
+
+\item{number.trials}{Number of simulation trials}
+
+\item{cl}{VaR confidence level}
+}
+\value{
+A list with "VaR" and "ES" of the specified portfolio
+}
+\description{
+Generates Monte Carlo VaR and ES for insurance portfolio.
+}
+\examples{
+# Estimates VaR and ES of Insurance portfolio with given parameters
+   y<-InsuranceVaRES(.8, 1.3, 100, .6, 21,  12, 50, .95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+