Pareto_Find_Alpha_btw_FQ_Layer function

Pareto Alpha Between a Frequency and a Layer

Pareto Alpha Between a Frequency and a Layer

Finds the Pareto alpha between an excess frequency and the expected loss of a layer

Pareto_Find_Alpha_btw_FQ_Layer(
  Threshold,
  Frequency,
  Cover,
  AttachmentPoint,
  ExpLoss,
  max_alpha = 100,
  tolerance = 1e-10,
  truncation = NULL
)

Arguments

  • Threshold: Numeric. Threshold
  • Frequency: Numeric. Expected frequency in excess of Thershold
  • Cover: Numeric. Cover of the second layer.
  • AttachmentPoint: Numeric. Attachment point of the layer.
  • ExpLoss: Numeric. Expected loss of the 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.

Returns

The Pareto alpha between the expected number of claims Frequency excess Threshold

and the layer Cover xs AttachmentPoint with expected loss ExpLoss

Examples

Pareto_Find_Alpha_btw_FQ_Layer(1000, 1, 1000, 1000, 500)
Pareto_Find_Alpha_btw_FQ_Layer(1000, 1, 1000, 1000, 500, truncation = 5000)

References

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

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