VoseAggregateDeduct | Vose Software


See also: Vose Aggregate Monte Carlo window

=VoseAggregateDeduct(N,Cost Distribution, Deductible, MaxLimit)




Directly simulates the sum of N variables from the Cost Distribution where the cost distribution can be optionally modified with a deductible or maximum payout limit. N can be a fixed integer or come from a discrete distribution itself.

  • N - the number of variables to sum. Can be either an integer number or a value simulated from a discrete distribution (e.g. VosePoisson(50)).

  • Cost Distribution - a non-negative distribution object.

  • Deductible - (optional) the deductible.

  • MaxLimit - (optional) the maximum payout limit.

The use of the deductible means that the insurance company does not pay out first x of the damage described by the cost distribution. To account for the deductible the cost distribution is truncated and shifted to the right. When a value below the deductible occurs it is simulated as a cost of zero.

The optional Maxlimit parameter allows one to restrict the claim size that an insurance company pays out to no more than MaxLimit. So when a payout higher then MaxLimit occurs it will be simulated as MaxLimit.