Layer_Var function

Variance of a Reinsurance Layer

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

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.

Returns

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)