pricing.fit_pml_curve() – prospicio | prospicio

pricing.fit_pml_curve()

The model through the points of a PML curve: amounts[j] is

Usage

pricing.fit_pml_curve(
    return_periods,
    amounts,
    tail_alpha=2.0,
    truncation=None,
)

exceeded once in return_periods[j] years.

Parameters

return_periods: list of float
amounts: list of float
tail_alpha: float = 2.0: Alpha above the largest amount.
truncation: float = None: Truncation of the last piece.

Returns

TowerModel