Pareto_Layer_SM: Second Layer Moment of the Pareto Distribution

Description Usage Arguments Value Examples

View source: R/Functions.R

Description

Calculates the second moment of a Pareto distribution in a reinsurance layer

Usage

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Pareto_Layer_SM(Cover, AttachmentPoint, alpha, t = NULL, truncation = NULL)

Arguments

Cover

Numeric. Cover of the reinsurance layer. Use Inf for unlimited layers.

AttachmentPoint

Numeric. Attachment point of the reinsurance layer.

alpha

Numeric. Pareto alpha.

t

Numeric. Threshold of the Pareto distribution. If t is NULL (default) then t <- Attachment Point is used

truncation

Numeric. If truncation is not NULL and truncation > t, then the Pareto distribution is truncated at truncation.

Value

The second moment of the (truncated) Pareto distribution with parameters t and alpha in the layer Cover xs AttachmentPoint

Examples

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Pareto_Layer_SM(4000, 1000, 2)
Pareto_Layer_SM(4000, 1000, alpha = 2, t = 1000)
Pareto_Layer_SM(4000, 1000, alpha = 2, t = 5000)
Pareto_Layer_SM(4000, 1000, alpha = 2, t = 1000, truncation = 5000)
Pareto_Layer_SM(9000, 1000, alpha = 2, t = 1000, truncation = 5000)

Pareto documentation built on March 3, 2021, 5:07 p.m.