Package 'eltr'

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")

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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")

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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")

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eltr: a package with functions to help analyse Catastrophe model data

Description

eltr provides functions to help

eltr functions

The eltr functions...

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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

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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)

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