PiecewisePareto_Layer_SM | R Documentation |
Calculates the second moment of a piecewise Pareto distribution in a reinsurance layer
PiecewisePareto_Layer_SM(
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 second moment of the (truncated) piecewise Pareto distribution with parameter vectors t
and alpha
in the layer
Cover
xs AttachmentPoint
t <- c(1000, 2000, 3000)
alpha <- c(1, 1.5, 2)
PiecewisePareto_Layer_SM(4000, 1000, t, alpha)
PiecewisePareto_Layer_SM(4000, 1000, t, alpha, truncation = 5000)
PiecewisePareto_Layer_SM(4000, 1000, t, alpha, truncation = 5000, truncation_type = "lp")
PiecewisePareto_Layer_SM(4000, 1000, t, alpha, truncation = 5000, truncation_type = "wd")
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