VoseMeanExcessX | Vose Software

VoseMeanExcessX

See also: VoseMeanExcessP

VoseMeanExcessX(ClaimDistribution,deductible D,Xmax)

 

 

Example model

This function calculates the mean excess e(T) for a claim distribution given a deductible D and some maximum claim size Xmax. Mean Excess is defined as the mean of the ClaimDistribution conditional on it being above some value D. It is given by the following equation:

  • ClaimDistribution - a distribution object representing claim size.

  • Deduct - a percentile (U) value on [0,1]

  • Xmax - If omitted Xmax is set to be the 99.9999th percentile or the maximum value (if it exists) of the ClaimDistribution.

Mean Excess is defined as the mean of the ClaimDistribution conditional on it being above some value D. It is given by the following equation:

 

 

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