Layer_Sd: Standard Deviation of a Reinsurance Layer

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

Standard Deviation of a Reinsurance Layer

Description

Calculates the standard deviation of the loss in a reinsurance layer for a collective model

Usage

Layer_Sd(CollectiveModel, Cover = Inf, AttachmentPoint = 0)

Arguments

CollectiveModel	A collective model object. Currently only PPP_Models are handled.
Cover	Numeric. Cover of the reinsurance layer. Use Inf for unlimited layers.
AttachmentPoint	Numeric. Attachment point of the reinsurance layer.

Value

The standard deviation of the loss in the layer Cover xs AttachmentPoint for the given CollectiveModel

Examples

PPPM <- PiecewisePareto_Match_Layer_Losses(Example1_AP, Example1_EL)
PPPM
Example1_Cov <- c(diff(Example1_AP), Inf)
Layer_Sd(PPPM, Example1_Cov, Example1_AP)

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