Layer_Var.PGP_Model function

Variance of a Reinsurance Layer

Calculates the variance of the loss in a reinsurance layer for a PGP_model

## S3 method for class 'PGP_Model'
Layer_Var(CollectiveModel, Cover = Inf, AttachmentPoint = 0)

Arguments

• CollectiveModel: PGP_Model object.
• 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

PGPM <- PGP_Model(2, 1000, 1, 2, dispersion = 2)
PGPM
Example1_Cov <- c(diff(Example1_AP), Inf)
Layer_Var(PGPM, Example1_Cov, Example1_AP)