InsuranceVaRES function

VaR and ES of Insurance Portfolio

Generates Monte Carlo VaR and ES for insurance portfolio.

InsuranceVaRES(mu, sigma, n, p, theta, deductible, number.trials, cl)

Arguments

• mu: Mean of returns
• sigma: Volatility of returns
• n: Number of contracts
• p: Probability of any loss event
• theta: Expected profit per contract
• deductible: Deductible
• number.trials: Number of simulation trials
• cl: VaR confidence level

Returns

A list with "VaR" and "ES" of the specified portfolio

Examples

# Estimates VaR and ES of Insurance portfolio with given parameters
   y<-InsuranceVaRES(.8, 1.3, 100, .6, 21,  12, 50, .95)

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.