GenPareto_Layer_Var {Pareto}

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)