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

Description Usage Arguments Examples

View source: R/PGPModel.R

Description

Constructor function for the PGP_Model object

Usage

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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

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

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