Module piecewise_pareto 

Piecewise Pareto: a different Pareto alpha above each threshold, the output of tower matching and the general large-loss model in docs/design/pareto.md.

Structs

PiecewisePareto

Piecewise Pareto distribution with thresholds t_1 < … < t_n and alphas α_1, …, α_n: P(X > x) = 1 below t_1, and on [t_k, t_{k+1})

Enums

Truncation

How a PiecewisePareto is truncated at a point T above its last threshold. Both match the R package Pareto’s truncation_type.