Pareto_Find_Alpha_btw_FQs: Pareto Alpha Between Two Frequencies

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

Pareto Alpha Between Two Frequencies

Description

Finds the Pareto alpha between two excess frequencies

Usage

Pareto_Find_Alpha_btw_FQs(
  Threshold_1,
  Frequency_1,
  Threshold_2,
  Frequency_2,
  max_alpha = 100,
  tolerance = 1e-10,
  truncation = NULL
)

Arguments

Threshold_1	Numeric. Threshold 1
Frequency_1	Numeric. Expected frequency in excess of Threshold_1
Threshold_2	Numeric. Threshold 2
Frequency_2	Numeric. Expected frequency in excess of Threshold_2
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_1 excess Threshold_1 and the expected number of claims Frequency_2 excess Threshold_2

References

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

Examples

Pareto_Find_Alpha_btw_FQs(1000, 1, 2000, 0.5)
Pareto_Find_Alpha_btw_FQs(1000, 1, 2000, 0.5, truncation = 5000)

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