R: Quantiles of Aggregate Claim Amount Distribution

quantile.aggregateDist {actuar} | R Documentation

## Quantiles of Aggregate Claim Amount Distribution

### Description

Quantile and Value-at-Risk methods for objects of class `"aggregateDist"`.

### Usage

    ## S3 method for class 'aggregateDist'
    quantile(x,
             probs = c(0.25, 0.5, 0.75, 0.9, 0.95, 0.975, 0.99, 0.995),
             smooth = FALSE, names = TRUE, ...)

    ## S3 method for class 'aggregateDist'
    VaR(x, conf.level = c(0.9, 0.95, 0.99),
             smooth = FALSE, names = TRUE, ...)

### Arguments

`x` | an object of class `"aggregateDist"`.
`probs, conf.level` | numeric vector of probabilities with values in [0, 1).
`smooth` | logical; when `TRUE` and `x` is a step function, quantiles are linearly interpolated between knots.
`names` | logical; if true, the result has a `names` attribute. Set to `FALSE` for speedup with many `probs`.
`...` | further arguments passed to or from other methods.

### Details

The quantiles are taken directly from the cumulative distribution function defined in `x`. Linear interpolation is available for step functions.

### Value

A numeric vector, named if `names` is `TRUE`.

### Author(s)

Vincent Goulet vincent.goulet@act.ulaval.ca and Louis-Philippe Pouliot

### See Also

`aggregateDist`

### Examples

    model.freq <- expression(data = rpois(3))
    model.sev <- expression(data = rlnorm(10, 1.5))
    Fs <- aggregateDist("simulation", model.freq, model.sev, nb.simul = 1000)
    quantile(Fs, probs = c(0.25, 0.5, 0.75))
    VaR(Fs)

[Package actuar version 3.0-0 Index]