ILFSlicedGammaPareto

Increased Limit Factor Curve from a Sliced Gamma Pareto severity distribution

Assists actuaries and other insurance modellers in pricing,
reserving and capital modelling for non-life insurance and
reinsurance modelling. Provides functions that help model
excess levels, capping and pure Incurred but not reported
claims (pure IBNR).
Includes capped mean, exposure curves and increased limit
factor curves (ILFs) for LogNormal, Gamma, Pareto, Sliced
LogNormal-Pareto and Sliced Gamma-Pareto distributions.
Includes mean, probability density function (pdf), cumulative
probability function (cdf) and inverse cumulative probability
function for Sliced LogNormal-Pareto and Sliced Gamma-Pareto
distributions.
Includes calculating pure IBNR exposure with LogNormal and
Gamma distribution for reporting delay.
Includes three shiny tools, one to simulate insurance claims applying
reinsurance structures, fit generalised linear models and fit claims
frequency or severity distributions.
Methods used in the package refer to
Free for All by Yiannis Parizas (2023) <https://www.theactuary.com/2023/03/02/free-all>;
Escaping the triangle by Yiannis Parizas (2019) <https://www.theactuary.com/features/2019/06/2019/06/05/escaping-triangle>;
Take to excess by Yiannis Parizas (2019) <https://www.theactuary.com/features/2019/03/2019/03/06/taken-excess>.

Yiannis Parizas

NetSimR

Actuarial Functions for Non-Life Insurance Modelling

ILFSlicedGammaPareto function

<dl><dt>xLow</dt>
<dd>A positive real number - the claim amount where the Limit Factor Curve will be evaluated from.</dd>
<dt>xHigh</dt>
<dd>A positive real number - the claim amount where the Limit Factor Curve will be evaluated to.</dd>
<dt>GShape</dt>
<dd>A positive real number - the shape parameter of the attritional Claim Severity's Gamma distribution.</dd>
<dt>GRate</dt>
<dd>A positive real number - the rate parameter of the attritional Claim Severity's Gamma distribution.</dd>
<dt>SlicePoint</dt>
<dd>A positive real number - the slice point and the scale parameter of the tail Claim Severity's Pareto distribution.</dd>
<dt>PShape</dt>
<dd>A positive real number - the shape parameter of the tail Claim Severity's Pareto distribution.</dd></dl>

Arguments

Increased Limit Factor Curve from a Sliced Gamma Pareto severity distribution — ILFSlicedGammaPareto

<dl>

<dt>xLow</dt>
<dd>A positive real number - the claim amount where the Limit Factor Curve will be evaluated from.</dd>


<dt>xHigh</dt>
<dd>A positive real number - the claim amount where the Limit Factor Curve will be evaluated to.</dd>


<dt>GShape</dt>
<dd>A positive real number - the shape parameter of the attritional Claim Severity's Gamma distribution.</dd>


<dt>GRate</dt>
<dd>A positive real number - the rate parameter of the attritional Claim Severity's Gamma distribution.</dd>


<dt>SlicePoint</dt>
<dd>A positive real number - the slice point and the scale parameter of the tail Claim Severity's Pareto distribution.</dd>


<dt>PShape</dt>
<dd>A positive real number - the shape parameter of the tail Claim Severity's Pareto distribution.</dd>

</dl>

ILFSlicedGammaPareto: Increased Limit Factor Curve from a Sliced Gamma Pareto severity distribution

Description

Usage

Value

Arguments

Examples