Pareto_Find_Alpha_btw_FQs {Pareto}

Pareto Alpha Between Two Frequencies

Description

Finds the Pareto alpha between two excess frequencies

Usage

Pareto_Find_Alpha_btw_FQs(
  Threshold_1,
  Frequency_1,
  Threshold_2,
  Frequency_2,
  max_alpha = 100,
  tolerance = 1e-10,
  truncation = NULL
)

Arguments

Threshold_1

Numeric. Threshold 1

Frequency_1

Numeric. Expected frequency in excess of Threshold_1

Threshold_2

Numeric. Threshold 2

Frequency_2

Numeric. Expected frequency in excess of Threshold_2

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_1 excess Threshold_1 and the expected number of claims Frequency_2 excess Threshold_2

References

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

Examples

Pareto_Find_Alpha_btw_FQs(1000, 1, 2000, 0.5)
Pareto_Find_Alpha_btw_FQs(1000, 1, 2000, 0.5, truncation = 5000)