SlicedGammaParetoCappedMean: Sliced Gamma Pareto capped mean

In NetSimR: Actuarial Functions for Non-Life Insurance Modelling

Sliced Gamma Pareto capped mean

Description

Sliced Gamma Pareto capped mean

Usage

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

Arguments

cap	A positive 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.
PShape	A positive real number - the shape parameter of the tail Claim Severity's Pareto distribution.

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.

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 Oct. 25, 2023, 1:08 a.m.