SlicedGammaParetoCappedMean: Sliced Gamma Pareto capped mean

In NetSimR: Actuarial Functions for Non-Life Insurance Modelling

Sliced Gamma Pareto capped mean

Description

Gives the expected claim amount when each claim from a sliced severity distribution, with Gamma attritional claims below the slice point and a Pareto tail above it, is capped at cap.

Usage

SlicedGammaParetoCappedMean(cap, GShape, GRate, SlicePoint, PShape)

Arguments

cap	A non-negative real number - the claim severity cap.
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 mean of the claim severity capped at cap with an attritional claim Gamma distribution with parameters GShape and GRate and a large claim Pareto distribution with parameters SlicePoint and PShape. A non-numeric argument, a negative cap or a non-positive parameter is an error; NA values give NA.

See Also

Other capped mean functions: GammaCappedMean(), LNormCappedMean(), ParetoCappedMean(), ParetoCappedMeanCalc(), SlicedLNormParetoCappedMean()

Examples

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

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