Pareto_Layer_SM function

Second Layer Moment of the Pareto Distribution

Calculates the second moment of a Pareto distribution in a reinsurance layer

Pareto_Layer_SM(Cover, AttachmentPoint, alpha, t = NULL, truncation = NULL)

Arguments

• Cover: Numeric. Cover of the reinsurance layer. Use Inf for unlimited layers.
• AttachmentPoint: Numeric. Attachment point of the reinsurance layer.
• alpha: Numeric. Pareto alpha.
• t: Numeric. Threshold of the Pareto distribution. If t is NULL (default) then t <- Attachment Point is used
• truncation: Numeric. If truncation is not NULL and truncation > t, then the Pareto distribution is truncated at truncation.

Returns

The second moment of the (truncated) Pareto distribution with parameters t and alpha in the layer Cover xs AttachmentPoint

Examples

Pareto_Layer_SM(4000, 1000, 2)
Pareto_Layer_SM(4000, 1000, alpha = 2, t = 1000)
Pareto_Layer_SM(4000, 1000, alpha = 2, t = 5000)
Pareto_Layer_SM(4000, 1000, alpha = 2, t = 1000, truncation = 5000)
Pareto_Layer_SM(9000, 1000, alpha = 2, t = 1000, truncation = 5000)