pricing.alpha_between_layers()

The Pareto alpha at which two layers have the given expected losses.

Usage

pricing.alpha_between_layers(
    a,
    b,
    truncation=None,
)

Parameters

a: tuple of float

(limit, attachment, expected_loss).

b: tuple of float

(limit, attachment, expected_loss); one layer must lie above the other.

truncation: float = None

Returns

float