Fit_PML_Curve: Fits a Collective Model to a PML Curve

Description Usage Arguments Value Examples

View source: R/Functions.R

Description

Fits a PPP_Model that matches the values of a PML curve

Usage

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Fit_PML_Curve(
  return_periods,
  amounts,
  tail_alpha = 2,
  truncation = NULL,
  truncation_type = "lp",
  dispersion = 1
)

Arguments

return_periods

Numeric vector. Vector containing the return periods of the PML curve.

amounts

Numeric vector. Vector containing the loss amounts corresponding to the return periods.

tail_alpha

Numerical. Pareto alpha that is used above the highest amount of the PML curve.

truncation

Numeric. If truncation is not NULL and truncation > max(t), then the distribution is truncated at truncation.

truncation_type

Character. If truncation_type = "wd" then the whole distribution is truncated. If truncation_type = "lp" then a truncated Pareto is used for the last piece.

dispersion

Numerical. Dispersion of the claim count distribution in the resulting PPP_Model.

Value

A PPP_Model object that contains the information about a collective model with a Panjer distributed claim count and a Piecewise Pareto distributed severity. The object contains the following elements:

Examples

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return_periods <- c(1, 5, 10, 20, 50, 100)
amounts <- c(1000, 4000, 7000, 10000, 13000, 14000)

fit <- Fit_PML_Curve(return_periods, amounts)
1 / Excess_Frequency(fit, amounts)

fit <- Fit_PML_Curve(return_periods, amounts, tail_alpha = 1.5,
                     truncation = 20000, truncation_type = "wd")
1 / Excess_Frequency(fit, amounts)

Pareto documentation built on March 3, 2021, 5:07 p.m.