rPareto

Generates random deviates of a Pareto distribution

Utilities for the Pareto, piecewise Pareto and generalized Pareto distribution
that are useful for reinsurance pricing. In particular, the package provides
a non-trivial algorithm that can be used to match the expected losses of a
tower of reinsurance layers with a layer-independent collective risk model.
The theoretical background of the matching algorithm and most other methods
are described in Ulrich Riegel (2018) <doi:10.1007/s13385-018-0177-3>.

Ulrich Riegel

Pareto

The Pareto, Piecewise Pareto and Generalized Pareto Distribution

rPareto function

<dl><dt>n</dt>
<dd>Numeric. Number of observations.</dd>
<dt>t</dt>
<dd>Numeric vector. Thresholds of the Pareto distributions</dd>
<dt>alpha</dt>
<dd>Numeric vector. Pareto alphas of the Pareto distributions.</dd>
<dt>truncation</dt>
<dd>NULL or Numeric vector. If <code>truncation</code> is not <code>NULL</code> and <code>truncation &gt; t</code>, then the Pareto distribution is truncated at <code>truncation</code> (resampled Pareto)</dd></dl>

Arguments

Simulation of the Pareto Distribution — rPareto

<dl>

<dt>n</dt>
<dd>Numeric. Number of observations.</dd>


<dt>t</dt>
<dd>Numeric vector. Thresholds of the Pareto distributions</dd>


<dt>alpha</dt>
<dd>Numeric vector. Pareto alphas of the Pareto distributions.</dd>


<dt>truncation</dt>
<dd>NULL or Numeric vector. If <code>truncation</code> is not <code>NULL</code> and <code>truncation &gt; t</code>, then the Pareto distribution is truncated at <code>truncation</code> (resampled Pareto)</dd>

</dl>

rPareto: Simulation of the Pareto Distribution

Description

Usage

Value

Arguments

Examples