PPP_Model_Layer_Var function

Variance of a Reinsurance Layer

Calculates the variance of the loss in a reinsurance layer for a PPP_Model. This function is deprecated. Use Layer_Var instead.

PPP_Model_Layer_Var(Cover, AttachmentPoint, PPP_Model)

Arguments

• Cover: Numeric. Cover of the reinsurance layer. Use Inf for unlimited layers.
• AttachmentPoint: Numeric. Attachment point of the reinsurance layer.
• PPP_Model: PPP_Model object.

Returns

The variance of the loss in the layer Cover xs AttachmentPoint for the given PPP_Model

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)