pricing.match_tower()

Matches a tower of contiguous layers, the last unlimited, with one

Usage

pricing.match_tower(
    attachments, layer_losses, frequencies=None, rule="minimize"
)

frequency and a piecewise Pareto severity (Riegel 2018).

Parameters

attachments: list of float

Increasing attachment points; layer i runs to the next one, the last is unlimited.

layer_losses: list of float

Expected loss a year of each layer.

frequencies: list of float or None = None

Expected losses a year above each attachment point; None (or a None entry) to derive them.

rule: (minimize, midpoint) = "minimize"

How the free threshold inside each layer is chosen.

Returns

TowerModel

Examples

>>> from prospicio.pricing import match_tower
>>> m = match_tower([1000.0, 1500.0, 2000.0], [100.0, 90.0, 120.0], [0.25, None, None])
>>> round(m.layer_loss(500.0, 1500.0), 9)

90.0