Pareto_Find_Alpha_btw_FQ_Layer: Pareto Alpha Between a Frequency and a Layer

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

Pareto Alpha Between a Frequency and a Layer

Description

Finds the Pareto alpha between an excess frequency and the expected loss of a layer

Usage

Pareto_Find_Alpha_btw_FQ_Layer(
  Threshold,
  Frequency,
  Cover,
  AttachmentPoint,
  ExpLoss,
  max_alpha = 100,
  tolerance = 1e-10,
  truncation = NULL
)

Arguments

Threshold	Numeric. Threshold
Frequency	Numeric. Expected frequency in excess of Thershold
Cover	Numeric. Cover of the second layer.
AttachmentPoint	Numeric. Attachment point of the layer.
ExpLoss	Numeric. Expected loss of the layer.
max_alpha	Numeric. Upper limit for the alpha that is returned.
tolerance	Numeric. Accuracy of the result.
truncation	Numeric. If truncation is not NULL then the Pareto distribution is truncated at truncation.

Value

The Pareto alpha between the expected number of claims Frequency excess Threshold and the layer Cover xs AttachmentPoint with expected loss ExpLoss

References

Riegel, U. (2018) Matching tower information with piecewise Pareto. European Actuarial Journal 8(2): 437–460

Examples

Pareto_Find_Alpha_btw_FQ_Layer(1000, 1, 1000, 1000, 500)
Pareto_Find_Alpha_btw_FQ_Layer(1000, 1, 1000, 1000, 500, truncation = 5000)

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