Pareto_Find_Alpha_btw_Layers: Pareto Alpha Between Two Layers

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

Pareto Alpha Between Two Layers

Description

Finds the Pareto alpha between two layers

Usage

Pareto_Find_Alpha_btw_Layers(
  Cover_1,
  AttachmentPoint_1,
  ExpLoss_1,
  Cover_2,
  AttachmentPoint_2,
  ExpLoss_2,
  max_alpha = 100,
  tolerance = 1e-10,
  truncation = NULL
)

Arguments

Cover_1	Numeric. Cover of the first layer.
AttachmentPoint_1	Numeric. Attachment point of the first layer.
ExpLoss_1	Numeric. Expected loss of the first layer.
Cover_2	Numeric. Cover of the second layer.
AttachmentPoint_2	Numeric. Attachment point of the second layer.
ExpLoss_2	Numeric. Expected loss of the second 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 layer Cover_1 xs AttachmentPoint_1 with expected loss ExpLoss_1 and the layer Cover_2 xs AttachmentPoint_2 with expected loss ExpLoss_2

References

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

Examples

Pareto_Find_Alpha_btw_Layers(100, 100, 100, 200, 200, 50)
Pareto_Find_Alpha_btw_Layers(100, 100, 100, 200, 200, 50, truncation = 500)

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