VoseKthLargest

See also: Vose Extreme Values window, VoseLargestSet

VoseKthLargest(distribution,n,k)

 

 

Example model

This function returns the kth largest value from n sampled values from a certain distribution.

  • distribution - A distribution object

  • n - the number of samples to be taken from the distribution

  • k - the rank of the sample. 1=largest, 2= second largest, etc.

Just like distributions in ModelRisk, this function has an optional U-parameter.

Example

You believe that the distribution for the claim size of a certain claim is a Pareto(3,1) and you would like to know what, out of 1000 claims, will be the second largest claim you will get. This can be modelled with:

=VoseKthLargest(VosePareto(3,1),1000,2)

Comment

If one wants to know for example the largest, the second largest and the third largest value out of n sampled values from a distribution, then one should use the VoseLargestSet function, because if they are all estimated separately from the VoseKthLargest function, they would all be independent.

 

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