Layer_Var.PPP_Model: Variance of a Reinsurance Layer

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

Variance of a Reinsurance Layer

Description

Calculates the variance of the loss in a reinsurance layer for a PPP_model

Usage

## S3 method for class 'PPP_Model'
Layer_Var(CollectiveModel, Cover = Inf, AttachmentPoint = 0)

Arguments

CollectiveModel	PPP_Model object.
Cover	Numeric. Cover of the reinsurance layer. Use Inf for unlimited layers.
AttachmentPoint	Numeric. Attachment point of the reinsurance layer.

Value

The variance of the loss in the layer Cover xs AttachmentPoint for the given CollectiveModel

Examples

PPPM <- PiecewisePareto_Match_Layer_Losses(Example1_AP, Example1_EL)
PPPM
Example1_Cov <- c(diff(Example1_AP), Inf)
Layer_Var(PPPM, Example1_Cov, Example1_AP)

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