coverage {actuar} | R Documentation |
Compute probability density or cumulative distribution function of the payment per payment or payment per loss random variable under any combination of the following coverage modifications: deductible, limit, coinsurance, inflation.
coverage(dist, deductible = 0, franchise = FALSE, limit = Inf, coinsurance = 1, inflation = 0, per.loss = FALSE, cdf = FALSE)
dist |
character string of the name of a probability law. |
deductible |
a unique positive numeric value. |
franchise |
logical; TRUE for a franchise deductible,
FALSE (default) for an ordinary deductible. |
limit |
a unique positive numeric value larger than
deductible . |
coinsurance |
a unique value between 0 and 1; the proportion of coinsurance. |
inflation |
a unique value between 0 and 1; the rate of inflation. |
per.loss |
logical; TRUE for the per loss distribution,
FALSE (default) for the per payment distribution. |
cdf |
logical; TRUE for the cumulative distribution
function, FALSE (default) for the probability distribution
function. |
coverage()
returns the pdf or cdf of distribution dist
under coverage modifications. Functions pdist
and, if cdf
= FALSE
, ddist
must exist.
See vignette("coverage")
for the exact definitions of the
per payment and per loss random variables under an ordinary or
franchise deductible.
An object of mode "function"
with the same arguments as
pdist
or ddist
, except "lower.tail"
,
"log.p"
and "log"
, which are not supported.
Vincent Goulet vincent.goulet@act.ulaval.ca and Mathieu Pigeon
Klugman, Panjer & Willmot, Loss Models, Second Edition, Wiley, 2004.
## Default case: pdf of the per payment random variable with ## an ordinary deductible coverage("gamma", deductible = 1) ## Add a limit f <- coverage("gamma", deductible = 1, limit = 7) f(0, shape = 3, rate = 1) f(2, shape = 3, rate = 1) f(6, shape = 3, rate = 1) f(8, shape = 3, rate = 1) curve(dgamma(x, 3, 1), xlim = c(0, 10), ylim = c(0, 0.3)) # original curve(f(x, 3, 1), xlim = c(0.01, 5.99), lty = 2, add = TRUE) # modified points(6, f(6, 3, 1), type = "h", pch = 16) points(6, f(6, 3, 1), pch = 16) ## With no deductible, all distributions below are identical coverage("weibull", limit = 5) coverage("weibull", per.loss = TRUE, limit = 5) coverage("weibull", franchise = TRUE, limit = 5) coverage("weibull", per.loss = TRUE, franchise = TRUE, limit = 5)