Pareto_Layer_Mean: Layer Mean of the Pareto Distribution

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

Layer Mean of the Pareto Distribution

Description

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

Usage

Pareto_Layer_Mean(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 expected loss of the (truncated) Pareto distribution with parameters t and alpha in the layer Cover xs AttachmentPoint

Examples

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

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