GenPareto_Layer_Var: Layer Variance of the Generalized Pareto Distribution

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

Layer Variance of the Generalized Pareto Distribution

Description

Calculates the variance of a generalized Pareto distribution in a reinsurance layer

Usage

GenPareto_Layer_Var(
  Cover,
  AttachmentPoint,
  t,
  alpha_ini,
  alpha_tail,
  truncation = NULL
)

Arguments

Cover	Numeric. Cover of the reinsurance layer. Use Inf for unlimited layers.
AttachmentPoint	Numeric. Attachment point of the reinsurance layer.
t	Numeric. Threshold of the Pareto distribution. If t is NULL (default) then t <- Attachment Point is used
alpha_ini	Numeric. Initial Pareto alpha (at t).
alpha_tail	Numeric. Tail Pareto alpha.
truncation	Numeric. If truncation is not NULL and truncation > t, then the Pareto distribution is truncated at truncation.

Value

Variance of the (truncated) generalized Pareto distribution with parameters t, alpha_ini and alpha_tail in the layer Cover xs AttachmentPoint

Examples

GenPareto_Layer_Var(4000, 1000, 1000, 1, 2)
GenPareto_Layer_Var(4000, 1000, t = 1000, alpha_ini = 1, alpha_tail = 3)
GenPareto_Layer_Var(4000, 1000, t = 5000, alpha_ini = 1, alpha_tail = 3)
GenPareto_Layer_Var(4000, 1000, t = 1000, alpha_ini = 1, alpha_tail = 3, truncation = 5000)
GenPareto_Layer_Var(9000, 1000, t = 1000, alpha_ini = 1, alpha_tail = 3, truncation = 5000)

ulrichriegel/Pareto documentation built on April 21, 2023, 8:39 p.m.