pricing.severity_exposure_curve()

The exposure curve of a severity capped at the maximum possible loss

Usage

pricing.severity_exposure_curve(
    severity,
    mpl,
    x,
)

mpl: G(x) = LEV(x mpl) / LEV(mpl) at each x.

Parameters

severity: a severity

mpl: float

x: list of float

Returns

list of float

Examples

>>> from prospicio.distributions import Pareto
>>> from prospicio.pricing import severity_exposure_curve
>>> g = severity_exposure_curve(Pareto(1e5, 1.5), 1e7, [0.0, 0.5, 1.0])
>>> g[0], round(g[2], 12), g[1] > 0.5

(0.0, 1.0, True)