Description Usage Arguments Value References Examples

Calculates the expected loss of a piecewise Pareto distribution in a reinsurance layer

1 2 3 4 5 6 7 8 | ```
PiecewisePareto_Layer_Mean(
Cover,
AttachmentPoint,
t,
alpha,
truncation = NULL,
truncation_type = "lp"
)
``` |

`Cover` |
Numeric. Cover of the reinsurance layer. |

`AttachmentPoint` |
Numeric. Attachment point of the reinsurance layer. |

`t` |
Numeric vector. Thresholds of the piecewise Pareto distribution. |

`alpha` |
Numeric vector. |

`truncation` |
Numeric. If |

`truncation_type` |
Character. If |

The expected loss of the (truncated) piecewise Pareto distribution with parameter vectors `t`

and `alpha`

in the layer
`Cover`

xs `AttachmentPoint`

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

1 2 3 4 5 6 | ```
t <- c(1000, 2000, 3000)
alpha <- c(1, 1.5, 2)
PiecewisePareto_Layer_Mean(4000, 1000, t, alpha)
PiecewisePareto_Layer_Mean(4000, 1000, t, alpha, truncation = 5000)
PiecewisePareto_Layer_Mean(4000, 1000, t, alpha, truncation = 5000, truncation_type = "lp")
PiecewisePareto_Layer_Mean(4000, 1000, t, alpha, truncation = 5000, truncation_type = "wd")
``` |

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