# GenPareto_Layer_Var: Layer Variance of the Generalized Pareto Distribution In Pareto: The Pareto, Piecewise Pareto and Generalized Pareto Distribution

## Description

Calculates the variance of a generalized Pareto distribution in a reinsurance layer

## Usage

 ```1 2 3 4 5 6 7 8``` ```GenPareto_Layer_Var( 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

Variance of the (truncated) generalized Pareto distribution with parameters `t`, `alpha_ini` and `alpha_tail` in the layer `Cover` xs `AttachmentPoint`

## Examples

 ```1 2 3 4 5``` ```GenPareto_Layer_Var(4000, 1000, 1000, 1, 2) GenPareto_Layer_Var(4000, 1000, t = 1000, alpha_ini = 1, alpha_tail = 3) GenPareto_Layer_Var(4000, 1000, t = 5000, alpha_ini = 1, alpha_tail = 3) GenPareto_Layer_Var(4000, 1000, t = 1000, alpha_ini = 1, alpha_tail = 3, truncation = 5000) GenPareto_Layer_Var(9000, 1000, t = 1000, alpha_ini = 1, alpha_tail = 3, truncation = 5000) ```

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