Alpha alpha[k] above threshold t[k]: the general large-loss model and
the result of tower matching. Properties: d@t, d@alpha,
d@truncation (Inf if none), d@truncation_type.
Usage
piecewise_pareto(
t,
alpha,
truncation = NULL,
truncation_type = "lp",
ptr = NULL
)
Arguments
- t
Strictly increasing positive thresholds.
- alpha
One alpha per threshold; interior ones may be 0, the last
must be positive.
- truncation
Truncation point above the last threshold, or NULL.
- truncation_type
"lp" to truncate the last piece only, "wd" to
truncate the whole distribution.
Value
A piecewise_pareto object, which inherits from distribution.
Details
Supports the same operations as pareto.
Examples
pp <- piecewise_pareto(c(1000, 2000), c(1, 2))
survival(pp, 4000)
#> [1] 0.125
stop_loss(pp, 2000)
#> [1] 1000