Pareto_Find_Alpha_btw_FQ_Layer {Pareto}

Pareto Alpha Between a Frequency and a Layer

Description

Finds the Pareto alpha between an excess frequency and the expected loss of a layer

Usage

Pareto_Find_Alpha_btw_FQ_Layer(
  Threshold,
  Frequency,
  Cover,
  AttachmentPoint,
  ExpLoss,
  max_alpha = 100,
  tolerance = 1e-10,
  truncation = NULL
)

Arguments

Threshold

Numeric. Threshold

Frequency

Numeric. Expected frequency in excess of Thershold

Cover

Numeric. Cover of the second layer.

AttachmentPoint

Numeric. Attachment point of the layer.

ExpLoss

Numeric. Expected loss of the layer.

max_alpha

Numeric. Upper limit for the alpha that is returned.

tolerance

Numeric. Accuracy of the result.

truncation

Numeric. If truncation is not NULL then the Pareto distribution is truncated at truncation.

Value

The Pareto alpha between the expected number of claims Frequency excess Threshold and the layer Cover xs AttachmentPoint with expected loss ExpLoss

References

Riegel, U. (2018) Matching tower information with piecewise Pareto. European Actuarial Journal 8(2): 437–460

Examples

Pareto_Find_Alpha_btw_FQ_Layer(1000, 1, 1000, 1000, 500)
Pareto_Find_Alpha_btw_FQ_Layer(1000, 1, 1000, 1000, 500, truncation = 5000)