PGP_Model: PGP_Model (Collective Panjer & Generalized Pareto Model)...

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

PGP_Model (Collective Panjer & Generalized Pareto Model) Object

Description

Constructor function for the PGP_Model object

Usage

PGP_Model(
  FQ = NULL,
  t = NULL,
  alpha_ini = NULL,
  alpha_tail = NULL,
  truncation = NULL,
  dispersion = 1,
  Status = 0,
  Comment = "OK"
)

Arguments

FQ	Numerical. Expected claim count of the collective model.
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.
dispersion	Numerical. Dispersion of the Panjer distribution (i.e. variance to mean ratio).
Status	Numerical indicator if a function returns a PGP_Model object: 0 = success, 1 = some information has been ignored, 2 = no solution found
Comment	Charakter. An optional comment.

Examples

PGPM <- PGP_Model(2, t = 1000, alpha_ini = 1, alpha_tail = 2 , dispersion = 2)
PGPM

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