| Title: | Utilise Catastrophe Model Event Loss Table Outputs |
| Version: | 0.1.0 |
| Description: | Provides a tool to run Monte Carlo simulation of catastrophe model event loss tables, using a Poisson frequency and Beta severity distribution. |
| License: | LGPL-2.1 | LGPL-3 [expanded from: LGPL (≥ 2.1)] |
| Encoding: | UTF-8 |
| LazyData: | true |
| RoxygenNote: | 7.1.1 |
| Suggests: | testthat, covr, knitr, rmarkdown |
| Imports: | data.table |
| VignetteBuilder: | knitr |
| Depends: | R (≥ 2.10) |
| URL: | https://randhirbilkhu.github.io/eltr/, https://github.com/RandhirBilkhu/eltr |
| BugReports: | https://github.com/RandhirBilkhu/eltr/issues |
| NeedsCompilation: | no |
| Packaged: | 2021-01-13 20:17:23 UTC; randz |
| Author: | Randhir Bilkhu [aut, cre] |
| Maintainer: | Randhir Bilkhu <rbilkhu7@gmail.com> |
| Repository: | CRAN |
| Date/Publication: | 2021-01-16 10:20:02 UTC |
Create parameters for ELT simulation
Description
Create parameters for ELT simulation
Usage
create_elt(dt, ann_rate, mu, sdev_i, sdev_c, expval)
Arguments
dt |
an ELT (Event Loss Table) |
ann_rate |
a vector of annual rates for each event |
mu |
a vector of mean event loss |
sdev_i |
a vector of independent standard deviations |
sdev_c |
a vector of correlated standard deviations |
expval |
the total values exposed in each event |
Value
a data.table object with mean damage ratio, total standard deviation and alpha/beta parameters
Examples
create_elt (eltr::example_elt, ann_rate="rate", mu="mean",
sdev_i = "sdevi" , sdev_c = "sdevc", expval = "exp")
OEP Curve
Description
OEP Curve
Usage
create_oep_curve(
dt,
y,
z,
rp = c(10000, 5000, 1000, 500, 250, 200, 100, 50, 25, 10, 5, 2)
)
Arguments
dt |
aggregate annual YLT |
y |
vector of year |
z |
vector of loss amount |
rp |
return period default points= c(10000,5000,1000,500,250,200,100,50, 25,10,5 , 2) |
Value
a vector of OEP at return periods as specified by the argument rp
Examples
create_oep_curve(data.table::data.table("Year" = c(1,2,3,4,5) ,
"Loss" =c(1 , 20 , 500 , 100 , 10000)) , y= "Year", z="Loss")
Create a YLT from ELT via monte carlo simulation
Description
Create a YLT from ELT via monte carlo simulation
Usage
create_ylt(dt, sims, ann_rate, event_id, expval, mu)
Arguments
dt |
a data.table with modified ELT |
sims |
number of years to simulate |
ann_rate |
event frequency |
event_id |
unique event identifier |
expval |
total amount exposed |
mu |
mean event loss |
Value
a tidy data.table with Loss, Year and ID. Where a year simulated with zero events will show as "none"
Examples
create_ylt(create_elt(eltr::example_elt, ann_rate="rate", mu="mean",
sdev_i = "sdevi" , sdev_c = "sdevc", expval="exp"),
sims=10,ann_rate = "rate" ,event_id = "id",expval = "exp",mu ="mean")
eltr: a package with functions to help analyse Catastrophe model data
Description
eltr provides functions to help
eltr functions
The eltr functions...
Example ELT Data
Description
This is a mock up of an ELT to help show case the typical structure of the data set and attributes
Usage
example_elt
Format
a data.table with 10 rows and 6 variables:
- id
unique event identifier
- rate
the expected annual frequency of occurence of each event
- mean
the mean event loss if it occurs
- sdevi
independent component of standard deviation of event loss if it occurs
- sdevc
correlated component of standard deviation of event loss if it occurs
- exp
maximum loss equivalent to total limit exposed
Limited loss to the layer
Description
Limited loss to the layer
Usage
layer_loss(x, Excess, Limit)
Arguments
x |
event loss |
Excess |
treaty retention |
Limit |
treaty limit |
Value
limited loss to the layer
Examples
layer_loss(5,2,6)
layer_loss(5,10,6)