Pareto_Extrapolation | R Documentation |
Uses a Pareto distribution to derive the expected loss of a layer from the expected loss of another layer
Pareto_Extrapolation(
Cover_1,
AttachmentPoint_1,
Cover_2,
AttachmentPoint_2,
alpha,
ExpLoss_1 = NULL,
truncation = NULL
)
Cover_1 |
Numeric. Cover of the layer from which we extrapolate. Use |
AttachmentPoint_1 |
Numeric. Attachment point of the layer from which we extrapolate. |
Cover_2 |
Numeric. Cover of the layer to which we extrapolate. Use |
AttachmentPoint_2 |
Numeric. Attachment point of the layer to which we extrapolate. |
alpha |
Numeric. Pareto alpha used for the extrapolation. |
ExpLoss_1 |
Numeric. Expected loss of the layer from which we extrapolate. If |
truncation |
Numeric. If |
The expected loss of the layer Cover_2
xs AttachmentPoint_2
given that Cover_1
xs AttachmentPoint_1
has expected
loss ExpLoss_1
and assuming a (truncated) Pareto distribution with parameters t
and alpha
. If missing then ExpLoss_1 == 1
is assumed.
Riegel, U. (2018) Matching tower information with piecewise Pareto. European Actuarial Journal 8(2): 437–460
Pareto_Extrapolation(1000, 1000, 2000, 2000, 2, ExpLoss_1 = 100)
Pareto_Extrapolation(1000, 1000, 2000, 2000, 2) * 100
Pareto_Extrapolation(1000, 1000, 2000, 2000, 2, truncation = 5000, ExpLoss_1 = 100)
Pareto_Extrapolation(1000, 1000, 2000, 2000, 2, truncation = 5000) * 100
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.