Layer_Var {Pareto}

Variance of a Reinsurance Layer

Description

Calculates the variance of the loss in a reinsurance layer for a collective model

Usage

Layer_Var(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 variance 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_Var(PPPM, Example1_Cov, Example1_AP)