GenPareto_Layer_Mean: Layer Mean of the generalized Pareto Distribution

In Pareto: The Pareto, Piecewise Pareto and Generalized Pareto Distribution

Layer Mean of the generalized Pareto Distribution

Description

Calculates the expected loss of a generalized Pareto distribution in a reinsurance layer

Usage

GenPareto_Layer_Mean(
  Cover,
  AttachmentPoint,
  t,
  alpha_ini,
  alpha_tail,
  truncation = NULL
)

Arguments

Cover	Numeric. Cover of the reinsurance layer. Use Inf for unlimited layers.
AttachmentPoint	Numeric. Attachment point of the reinsurance layer.
t	Numeric. Threshold of the Pareto distribution. If t is NULL (default) then t <- Attachment Point is used.
alpha_ini	Numeric. Initial Pareto alpha (at t).
alpha_tail	Numeric. Tail Pareto alpha.
truncation	Numeric. If truncation is not NULL and truncation > t, then the Pareto distribution is truncated at truncation.

Value

The expected loss of the (truncated) Pareto distribution with parameters t and alpha in the layer Cover xs AttachmentPoint

Examples

GenPareto_Layer_Mean(4000, 1000, 1000, 1, 3)
GenPareto_Layer_Mean(4000, 1000, t = 1000, alpha_ini = 1, alpha_tail = 3)
GenPareto_Layer_Mean(4000, 1000, t = 5000, alpha_ini = 1, alpha_tail = 3)
GenPareto_Layer_Mean(4000, 1000, t = 1000, alpha_ini = 1, alpha_tail = 3, truncation = 5000)
GenPareto_Layer_Mean(9000, 1000, t = 1000, alpha_ini = 1, alpha_tail = 3, truncation = 5000)

Pareto documentation built on April 18, 2023, 9:10 a.m.