ILFSlicedLNormPareto: Increased Limit Factor Curve from a Sliced LogNormal Pareto...

In NetSimR: Actuarial Functions for Non-Life Insurance Modelling

Increased Limit Factor Curve from a Sliced LogNormal Pareto severity distribution

Description

Gives the ratio of the sliced LogNormal-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

ILFSlicedLNormPareto(xLow, xHigh, mu, sigma, SlicePoint, shape)

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.
mu	A real number - the first parameter of the attritional Claim Severity's LogNormal distribution.
sigma	A positive real number - the second parameter of the attritional Claim Severity's LogNormal 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 LogNormal distribution.
shape	A positive real number - the shape parameter of the tail Claim Severity's Pareto distribution.

Details

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

Value

The value of the Increased Limit Factor curve from xLow to xHigh with an attritional claim LogNormal distribution with parameters mu and sigma and a large claim Pareto distribution with parameters SlicePoint and shape.

See Also

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

Examples

ILFSlicedLNormPareto(800,1200,6,1.5,1000,1.2)
ILFSlicedLNormPareto(2000,4000,7,1.6,3000,1.4)

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