Pareto_Find_Alpha_btw_Layers {Pareto}

Pareto Alpha Between Two Layers

Description

Finds the Pareto alpha between two layers

Usage

Pareto_Find_Alpha_btw_Layers(
  Cover_1,
  AttachmentPoint_1,
  ExpLoss_1,
  Cover_2,
  AttachmentPoint_2,
  ExpLoss_2,
  max_alpha = 100,
  tolerance = 1e-10,
  truncation = NULL
)

Arguments

Cover_1

Numeric. Cover of the first layer.

AttachmentPoint_1

Numeric. Attachment point of the first layer.

ExpLoss_1

Numeric. Expected loss of the first layer.

Cover_2

Numeric. Cover of the second layer.

AttachmentPoint_2

Numeric. Attachment point of the second layer.

ExpLoss_2

Numeric. Expected loss of the second 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 layer Cover_1 xs AttachmentPoint_1 with expected loss ExpLoss_1 and the layer Cover_2 xs AttachmentPoint_2 with expected loss ExpLoss_2

References

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

Examples

Pareto_Find_Alpha_btw_Layers(100, 100, 100, 200, 200, 50)
Pareto_Find_Alpha_btw_Layers(100, 100, 100, 200, 200, 50, truncation = 500)