ILFSlicedGammaPareto: Increased Limit Factor Curve from a Sliced Gamma Pareto...

In NetSimR: Actuarial Functions for Non-Life Insurance Modelling

Increased Limit Factor Curve from a Sliced Gamma Pareto severity distribution

Description

Gives the ratio of the sliced Gamma-Pareto capped mean at xHigh to that at xLow, the factor that takes the expected cost of a policy limit of xLow to that of a limit of xHigh.

Usage

ILFSlicedGammaPareto(xLow, xHigh, GShape, GRate, SlicePoint, PShape)

Arguments

xLow	A non-negative real number - the claim amount where the Limit Factor Curve will be evaluated from.
xHigh	A non-negative real number - the claim amount where the Limit Factor Curve will be evaluated to.
GShape	A positive real number - the shape parameter of the attritional Claim Severity's Gamma distribution.
GRate	A positive real number - the rate parameter of the attritional Claim Severity's Gamma distribution.
SlicePoint	A positive real number - the slice point and the scale parameter of the tail Claim Severity's Pareto distribution. An infinite slice point gives the Gamma distribution.
PShape	A positive real number - the shape parameter of the tail 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 Increased Limit Factor curve from xLow to xHigh with an attritional claim Gamma distribution with parameters GShape and GRate and a large claim Pareto distribution with parameters SlicePoint and PShape.

See Also

Other ILF functions: ILFGamma(), ILFLNorm(), ILFPareto(), ILFSlicedLNormPareto()

Examples

ILFSlicedGammaPareto(2000,3000,1,0.0005,1000,1.2)
ILFSlicedGammaPareto(800,1000,1.1,0.0006,2000,1.6)
ILFSlicedGammaPareto(1200,2000,1.2,0.0004,3000,1.4)

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