Apply a reinsurance tower to simulated years — apply

With an event_set each year's individual losses go through the tower. With a predictive_distribution (a reserve bootstrap, modelled premium risk) each simulation's total is one aggregate loss: an adverse development cover or loss portfolio transfer on reserves, a stop-loss or quota share on premium risk. An occurrence layer then sees the total as one occurrence, so it acts as an aggregate excess of loss.

Usage

apply_tower(tower, events, ...)

Arguments

tower: A reinsurance_tower.
events: An event_set from simulate_events(), or a predictive_distribution.
...: Unused; for methods.

Value

A predictive_distribution with dimensions kind and layer: ("gross", "ground_up"), ("ceded", <layer name>) per layer, ("net", "retained"), then ("reinstatement_premium", <layer name>) per layer with paid reinstatements. aggregate(result, keep = "kind") gives gross, total ceded and net per year; net is a loss, before premiums.

Examples

ev <- simulate_events(poisson_count(2), lognormal_from_mean_cv(3e6, 1.5), 1000, seed = 7)
tw <- reinsurance_tower(list(xol_layer("5x5", 5e6, 5e6)))
res <- apply_tower(tw, ev)
aggregate(res, keep = "kind")@keys
#>    kind
#> 1 gross
#> 2 ceded
#> 3   net