Layer_Var: Variance of a Reinsurance Layer
In Pareto: The Pareto, Piecewise Pareto and Generalized Pareto Distribution

Layer_Var

R Documentation

Variance of a Reinsurance Layer

Description

Calculates the variance of the loss in a reinsurance layer for a collective model

Usage

Layer_Var(CollectiveModel, Cover = Inf, AttachmentPoint = 0)

Arguments

`CollectiveModel`	A collective model object. Currently only `PPP_Models` are handled.
`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.