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See also: Vose Deduct window
VoseDeduct(Base Distribution, Deductible,
Maxlimit, Zeros, U)
Modifies a Base Distribution to model a claim size after accounting for any Deductible and maximum payout (MaxLimit).
The use of the deductible means that the insurance company does not pay out first x of the damage described by the base distribution. This introduces the problem of what to do with the lost probability F(x). It is added as a spike at 0 if Zeros = true, otherwise the density is raised to compensate to simulate the claim distribution conditional on the damage being greater than x.
The optional Maxlimit parameter allows one to restrict the claim size that an insurance company pays out to no more than L of the damage described by the Base Distribution. So there is a probability spike of (1-F(L)) at y=L.
Base Distribution - the base distribution to be modified, describing the value of the damage that was incurred. Must be a distribution object.
Deductible - the amount subtracted from the distribution before payout. Values below this are either not included, or included as zeros (see below).
MaxLimit - (optional) the maximum amount that would be paid. Payout values from the base distribution larger than this are returned as this value.
Zeros - optional boolean parameter. Set to TRUE to model all insurance cases (values below the deductible will be returned as zero) and FALSE (default) to simulate only values higher than the deductible.
U - optional parameter specifying the cumulative percentile of the distribution. If omitted (default) the function generates random values.
To construct a distribution object of the VoseDeduct distribution, use the function VoseDeductObject. This object can then again be used as a severity distribution in aggregate calculations.
For an explanation about the ModelRisk window for this function see the Vose Deduct window topic.
Another way to model complex insurance policies is to use the VoseExpression function.
VoseDeduct generates values from this distribution or calculates a percentile.
VoseDeductObject constructs a distribution object for this distribution.
VoseDeductProb returns the probability density or cumulative distribution function for this distribution.
VoseDeductProb10 returns the log10 of the probability density or cumulative distribution function.