ExposureCurveSlicedGammaPareto: Exposure Curve from a Sliced Gamma Pareto severity...

In NetSimR: Actuarial Functions for Non-Life Insurance Modelling

Exposure Curve from a Sliced Gamma Pareto severity distribution

Description

Gives the share of the expected claim cost of a sliced Gamma-Pareto severity distribution that falls below the amount x (the capped mean divided by the mean), as used to exposure rate a layer.

Usage

ExposureCurveSlicedGammaPareto(x, GShape, GRate, SlicePoint, PShape)

Arguments

x	A non-negative real number - the claim amount where the exposure curve will be evaluated.
GShape	A positive real number - the shape parameter of the Claim Severity's Gamma distribution.
GRate	A positive real number - the rate parameter of the Claim Severity's Gamma distribution.
SlicePoint	A positive real number - the slice point and the scale parameter of the Claim Severity's Pareto distribution. An infinite slice point gives the Gamma distribution.
PShape	A positive real number - the shape parameter of the Claim Severity's Pareto distribution.

Details

PShape is the Pareto shape parameter, usually written alpha; the sliced LogNormal-Pareto functions call the same parameter shape.

Value

The value of the Exposure curve at x with an attritional claim Gamma distribution with parameters GShape and GRate and a large claim Pareto distribution with parameters SlicePoint and PShape. The exposure curve divides by the mean, which is infinite when PShape <= 1 (and SlicePoint is finite); the function returns 0 in that case.

See Also

Other exposure curve functions: ExposureCurveGamma(), ExposureCurveLNorm(), ExposureCurvePareto(), ExposureCurveSlicedLNormPareto()

Examples

ExposureCurveSlicedGammaPareto(3000,1,0.0005,1000,1.2)
ExposureCurveSlicedGammaPareto(1000,1.1,0.0006,2000,1.6)
ExposureCurveSlicedGammaPareto(2000,1.2,0.0004,3000,1.4)

NetSimR documentation built on Sept. 30, 2026, 5:13 p.m.