Struct SeverityDist 

pub struct SeverityDist(/* private fields */);

A Dist known to be a Severity: every variant but Dist::Sampled.

This is what the bindings accept wherever a loss severity is required (collective models, layers, copula marginals, mixture components). It dispatches by match, like Dist, with no vtable.

use prospicio_prob::{Dist, Lognormal, Sampled, Severity, SeverityDist};

let ln = Lognormal::from_mean_cv(1000.0, 0.5).unwrap();
let s = SeverityDist::try_from(Dist::from(ln)).unwrap();
assert_eq!(s.lev(800.0), ln.lev(800.0));

let draws = Dist::from(Sampled::new(vec![1.0, 2.0]).unwrap());
assert!(SeverityDist::try_from(draws).is_err());

Implementations

impl SeverityDist

pub fn dist(&self) -> &Dist

The distribution.

pub fn into_dist(self) -> Dist

The distribution, by value.

Trait Implementations

impl Clone for SeverityDist

fn clone(&self) -> SeverityDist

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for SeverityDist

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Distribution for SeverityDist

fn mean(&self) -> f64

Expected value.

fn variance(&self) -> f64

Variance.

fn cdf(&self, x: f64) -> f64

P(X <= x).

fn survival(&self, x: f64) -> f64

P(X > x). Representations with a direct form override the default 1 - cdf(x), which loses all precision far in the tail.

fn quantile(&self, p: f64) -> Result<f64>

Smallest x with cdf(x) >= p.

fn sample(&self, rng: &mut StreamRng, n: usize) -> Vec<f64>

n draws from stream rng, by inverse transform unless the family overrides it (crate::Gamma draws by Marsaglia and Tsang).

fn is_parallel_safe(&self) -> bool

Whether the distribution may be evaluated on several threads at once. True for every native family; false for a crate::Custom whose callbacks must stay on the calling thread (an R function), so the parallel simulations run single-threaded when they meet one.

fn std_dev(&self) -> f64

Standard deviation.

impl From<SeverityDist> for Dist

fn from(s: SeverityDist) -> Self

Converts to this type from the input type.

impl Severity for SeverityDist

fn lev(&self, limit: f64) -> f64

Limited expected value E[min(X, limit)].

fn stop_loss(&self, retention: f64) -> f64

Expected excess over a retention, E[max(X - retention, 0)].

fn layer(&self, limit: f64, attachment: f64) -> f64

Expected loss to the layer limit xs attachment, E[min(max(X - attachment, 0), limit)].

fn layer_second_moment(&self, limit: f64, attachment: f64) -> f64

Second moment of the loss to the layer limit xs attachment, E[min(max(X - attachment, 0), limit)^2]. limit = +inf gives the unlimited layer (infinite if the second moment is).

fn layer_variance(&self, limit: f64, attachment: f64) -> f64

Variance of the loss to the layer limit xs attachment.

impl TryFrom<Dist> for SeverityDist

type Error = Dist

The distribution back, when it is Dist::Sampled.

fn try_from(d: Dist) -> Result<Self, Dist>

Performs the conversion.