PPP_Model: PPP_Model (Collective Panjer & Piecewise Pareto Model) Object

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

PPP_Model (Collective Panjer & Piecewise Pareto Model) Object

Description

Constructor function for the PPP_Model object

Usage

PPP_Model(
  FQ = NULL,
  t = NULL,
  alpha = NULL,
  truncation = NULL,
  truncation_type = "lp",
  dispersion = 1,
  Status = 0,
  Comment = "OK"
)

Arguments

FQ	Numerical. Expected claim count of the collective model.
t	Numeric vector. Vector containing the thresholds of the Piecewise Pareto distribution.
alpha	Numeric vector. Vector containing the alphas of the Piecewise Pareto distribution.
truncation	Numerical. If truncation is not NULL and truncation > max(t), then the distribution is truncated at truncation.
truncation_type	Character. If truncation_type = "wd" then the whole distribution is truncated. If truncation_type = "lp" then a truncated Pareto is used for the last piece.
dispersion	Numerical. Dispersion of the Panjer distribution (i.e. variance to mean ratio).
Status	Numerical indicator if a function returns a PPP_Model object: 0 = success, 1 = some information has been ignored, 2 = no solution found
Comment	Charakter. An optional comment.

Examples

PPPM <- PPP_Model(2, c(1000,2000), c(1,2), dispersion = 2)
PPPM

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