October 2014
Intermediate to advanced
584 pages
22h 2m
English
Content preview from Pricing in General Insurance
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264 Pricing in General Insurance
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# Calculating the AL distribution with FFT #
#####################################################################
# Libraries
library(stats)
library(stats4)
library(MASS)
library(actuar)
####################################################################
# 0. INPUTS
####################################################################
# Discretisation parameters
h = 100 # discretisation step
M = 65536 # no of values
theta = 20/M # tilting parameter
# Frequency parameters (Poisson)
lambda = 3 # Poisson rate
# Severity parameters (lognormal)
mu = 10.5
sigma = 1.3
# Insurance structure
EEL = 10000 # must be a multiple of h
EEL_h = EEL/h
Limit = 1000000 ...
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