PGP_Model function

PGP_Model (Collective Panjer & Generalized Pareto Model) Object

Constructor function for the PGP_Model object

PGP_Model(
  FQ = NULL,
  t = NULL,
  alpha_ini = NULL,
  alpha_tail = NULL,
  truncation = NULL,
  dispersion = 1,
  Status = 0,
  Comment = "OK"
)

Arguments

• FQ: Numerical. Expected claim count of the collective model.
• t: Numeric. Threshold of the Pareto distribution. If t is NULL (default) then t <- Attachment Point is used
• alpha_ini: Numeric. Initial Pareto alpha (at t).
• alpha_tail: Numeric. Tail Pareto alpha.
• truncation: Numeric. If truncation is not NULL and truncation > t, then the Pareto distribution is truncated at truncation.
• dispersion: Numerical. Dispersion of the Panjer distribution (i.e. variance to mean ratio).
• Status: Numerical indicator if a function returns a PGP_Model object: 0 = success, 1 = some information has been ignored, 2 = no solution found
• Comment: Charakter. An optional comment.

Examples

PGPM <- PGP_Model(2, t = 1000, alpha_ini = 1, alpha_tail = 2 , dispersion = 2)
PGPM