VoseMeanExcessP | Vose Software


See also: VoseMeanExcessX




Example model

This function calculates the mean excess e(T) for a claim distribution given a cumulative probability Pthreshold associated with the deductible D and some maximum claim size Xmax.

  • Distribution - a distribution object representing a claim size

  • Pthreshold - the cumulative probability of the threshold D (i.e. F(D))

  • Xmax - an optional parameter determining the maximum claim size if the limitation exists.

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:


The VoseMeanExcessX function does the same calculation, but takes D directly as an input parameter.