pricing.pareto_extrapolation()

Expected loss of layer to per unit of expected loss of layer

Usage

pricing.pareto_extrapolation(
    from_,
    to,
    alpha,
    truncation=None,
)

from_, under a Pareto with this alpha (and truncation).

Parameters

from_: tuple of float

(limit, attachment).

to: tuple of float

(limit, attachment).

alpha: float

truncation: float = None

Returns

float

Examples

>>> from prospicio.pricing import pareto_extrapolation
>>> round(pareto_extrapolation((1e6, 1e6), (2e6, 2e6), 2.0), 12)

0.5