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% Generated by roxygen2 (4.1.1): do not edit by hand
% Please edit documentation in R/distrib.R
\name{lossdistrib2}
\alias{lossdistrib2}
\title{Loss distribution of a portfolio}
\usage{
lossdistrib2(p, w, S, N, defaultflag = FALSE)
}
\arguments{
\item{p}{Numeric, vector of default probabilities}
\item{w}{Numeric, vector of weights}
\item{S}{Numeric, vector of severities}
\item{N}{Integer, number of ticks in the grid}
\item{defaultflag}{Boolean, if TRUE, we compute the default distribution
(instead of the loss distribution).}
}
\value{
a Numeric vector of size \code{N} computing the loss (resp.
default) distribution if \code{defaultflag} is FALSE (resp. TRUE).
}
\description{
\code{lossdistrib2} computes the probability distribution of a sum
of independent Bernouilli variables with unequal probabilities.
}
\details{
We compute the probability distribution of \eqn{L = \sum_{i=1}^n w_i S_i X_i}
where \eqn{X_i} is Bernouilli(\eqn{p_i}). If \code{defaultflag} is TRUE, we
compute the distribution of \eqn{D = \sum_{i=1}^n w_i X_i} instead.
This a recursive algorithm with first order correction for discretization.
}
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