[R] Percent damage distribution
diegol
diegol81 at gmail.com
Fri Dec 26 16:41:24 CET 2008
>In my limited experience (we have some insurance projets), 100% can occur,
>but otherwise a beta distbribution may suit, which suggests a mixture
>distribution. But start with an empirical examination (histogram, ecdf,
>density plot) of the distribution, since it may reveal other features.
Good idea. At this point I do not need to be so precise as to work with a
mixture distribution, but I will keep this in mind.
>The next question is 'why model'? For such a simple problem (a
>univariate distribution) a plot may be a sufficent analysis, and for e.g.
>simulation you could just re-sample the data.
I am trying to model loss severity. One common simplified approach is to
sample from e.g. a gamma or lognormal distribution to determine the dollar
value of each loss. My problem with this approach is that I have the
individual insured amounts, so a $100,000 loss which could result from
sampling from a lognormal distribution does not seem reasonable if the
insured amount is $25,000, to put an example. That is why I thought of a
damage distribution instead.
I am not sure what you mean by using a plot analysis or re-sampling the
data.
I posted back to Ben yesterday and the post was not accepted yet, so it
probably does not show in the thread, but there I stated I was going to use
a beta distribution, so my problem is solved by now. If you want, we may
continue this conversation privately.
Many thanks.
On Thu, 25 Dec 2008, diegol wrote:
>
> R version: 2.7.0
> Running on: WinXP
>
> I am trying to model damage from fire losses (given that the loss
> occurred).
> Since I have the individual insured amounts, rather than sampling dollar
> damage from a continuous distribution ranging from 0 to infinity, I want
> to
> sample from a percent damage distribution from 0-100%. One obvious
> solution
> is to use runif(n, min=0, max=1), but this does not seem to be a good
> idea,
> since I would not expect damage to be uniform.
>
> I have not seen such a distribution in actuarial applications, and rather
> than inventing one from scratch I thought I'd ask you if you know one,
> maybe
> from other disciplines, readily available in R.
>
> Thank you in advance.
>
> -----
> ~~~~~~~~~~~~~~~~~~~~~~~~~~
> Diego Mazzeo
> Actuarial Science Student
> Facultad de Ciencias Económicas
> Universidad de Buenos Aires
> Buenos Aires, Argentina
> --
> View this message in context:
> http://www.nabble.com/Percent-damage-distribution-tp21170344p21170344.html
> Sent from the R help mailing list archive at Nabble.com.
>
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--
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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-----
~~~~~~~~~~~~~~~~~~~~~~~~~~
Diego Mazzeo
Actuarial Science Student
Facultad de Ciencias Económicas
Universidad de Buenos Aires
Buenos Aires, Argentina
--
View this message in context: http://www.nabble.com/Percent-damage-distribution-tp21170344p21175296.html
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