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ReIns (version 1.0.13)
Functions from "Reinsurance: Actuarial and Statistical Aspects"
Description
Functions from the book "Reinsurance: Actuarial and Statistical Aspects" (2017) by Hansjoerg Albrecher, Jan Beirlant and Jef Teugels
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Install
install.packages('ReIns')
Monthly Downloads
1,319
Version
1.0.13
License
GPL (>= 2)
Issues
0
Pull Requests
0
Stars
19
Forks
17
Repository
https://github.com/TReynkens/ReIns
Maintainer
Tom Reynkens
Last Published
September 13th, 2023
Functions in ReIns (1.0.13)
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GPDfit
Fit GPD using MLE
Hill.2oQV
Bias-reduced MLE (Quantile view)
Hill.kopt
Select optimal threshold for Hill estimator
GPD
The generalised Pareto distribution
Hill
Hill estimator
GPDmle
GPD-ML estimator
ExpQQ
Exponential quantile plot
GPDresiduals
GPD residual plot
KaplanMeier
Kaplan-Meier estimator
Frechet
The Frechet distribution
ParetoQQ_der
Derivative plot of the Pareto QQ-plot
MeanExcess_TB
Mean excess function using Turnbull estimator
MeanExcess
Mean excess function
LognormalQQ_der
Derivative plot of the log-normal QQ-plot
MEfit
Mixed Erlang fit
Moment
Moment estimator
LStail
Least Squares tail estimator
ParetoQQ
Pareto quantile plot
LognormalQQ
Log-normal quantile plot
Pareto
The Pareto distribution
QuantGH
Estimator of extreme quantiles using generalised Hill
ProbGH
Estimator of small exceedance probabilities and large return periods using generalised Hill
ProbGPD
Estimator of small exceedance probabilities and large return periods using GPD-MLE
ProbMOM
Estimator of small exceedance probabilities and large return periods using MOM
QuantGPD
Estimator of extreme quantiles using GPD-MLE
Quant.2oQV
Second order refined Weissman estimator of extreme quantiles (QV)
Prob
Weissman estimator of small exceedance probabilities and large return periods
ProbReg
Estimator of small tail probability in regression
Quant
Weissman estimator of extreme quantiles
ProbEPD
Estimator of small exceedance probabilities and large return periods using EPD
ScaleEPD
Bias-reduced scale estimator using EPD estimator
SpliceFit
Splicing fit
QuantMOM
Estimator of extreme quantiles using MOM
QuantReg
Estimator of extreme quantiles in regression
Splice
Spliced distribution
SpliceECDF
Plot of fitted and empirical survival function
ScaleReg
Scale estimator in regression
SpliceFitGPD
Splicing of mixed Erlang and GPD using POT-MLE
Scale.2o
Bias-reduced scale estimator using second order Hill estimator
SpliceLL_TB
LL-plot with fitted and Turnbull survival function
Turnbull
Turnbull estimator
SpliceTB
Plot of fitted and Turnbull survival function
Scale
Scale estimator
SpliceLL
LL-plot with fitted and empirical survival function
SplicePP
PP-plot with fitted and empirical survival function
SpliceQQ
Splicing quantile plot
SpliceQQ_TB
Splicing quantile plot using Turnbull estimator
SplicePP_TB
PP-plot with fitted and Turnbull survival function
SpliceFitPareto
Splicing of mixed Erlang and Pareto
SpliceFiticPareto
Splicing of mixed Erlang and Pareto for interval censored data
WeibullQQ_der
Derivative plot of the Weibull QQ-plot
cEPD
EPD estimator for right censored data
cExpQQ
Exponential quantile plot for right censored data
cHill
Hill estimator for right censored data
cLognormalQQ
Log-normal quantile plot for right censored data
cMoment
MOM estimator for right censored data
cGPDmle
GPD-ML estimator for right censored data
cParetoQQ
Pareto quantile plot for right censored data
WeibullQQ
Weibull quantile plot
VaR
VaR of splicing fit
cQuantGH
Estimator of large quantiles using censored Hill
cProbGH
Estimator of small exceedance probabilities and large return periods using censored generalised Hill
cQuantGPD
Estimator of large quantiles using censored GPD-MLE
cQuant
Estimator of large quantiles using censored Hill
cWeibullQQ
Weibull quantile plot for right censored data
cQuantMOM
Estimator of large quantiles using censored MOM
cProb
Estimator of small exceedance probabilities and large return periods using censored Hill
cProbEPD
Estimator of small exceedance probabilities and large return periods using censored EPD
cProbMOM
Estimator of small exceedance probabilities and large return periods using censored MOM
cProbGPD
Estimator of small exceedance probabilities and large return periods using censored GPD-MLE
crHill
Hill-type estimator for the conditional EVI
crParetoQQ
Conditional Pareto quantile plot for right censored data
norwegianfire
Norwegian fire insurance data
pClas
Classical estimators for the CDF
icParetoQQ
Pareto quantile plot for interval censored data
cgenHill
Generalised Hill estimator for right censored data
icHill
Hill estimator for interval censored data
genHill
Generalised Hill estimator
crSurv
Non-parametric estimator of conditional survival function
genQQ
Generalised quantile plot
secura
Secura dataset
stdf
Non-parametric estimators of the STDF
soa
SOA Group Medical Insurance Large Claims Database
pEdge
Edgeworth approximation
pGC
Gram-Charlier approximation
tExp
The truncated exponential distribution
tFrechet
The truncated Frechet distribution
tGPD
The truncated generalised Pareto distribution
tBurr
The truncated Burr distribution
tPareto
The truncated Pareto distribution
trDT
Truncation odds
trEndpointMLE
Estimator of endpoint
tlnorm
The truncated log-normal distribution
trEndpoint
Estimator of endpoint
trDTMLE
Truncation odds
trParetoQQ
Truncated Pareto quantile plot
trMLE
MLE estimator for upper truncated data
trHill
Hill estimator for upper truncated data
tWeibull
The truncated Weibull distribution
trProb
Estimator of small exceedance probabilities using truncated Hill
trTestMLE
Test for truncated GPD tails
trProbMLE
Estimator of small exceedance probabilities using truncated MLE
trQuant
Estimator of large quantiles using truncated Hill
trQuantMLE
Estimator of large quantiles using truncated MLE
trTest
Test for truncated Pareto-type tails
Burr
The Burr distribution
ExcessPareto
Estimates for excess-loss premiums using a Pareto model
ExcessSplice
Estimates for excess-loss premiums using splicing
CTE
Conditional Tail Expectation
Extended Pareto
The Extended Pareto Distribution
EPD
EPD estimator
EPDfit
Fit EPD using MLE
EVTfit
EVT fit
ExcessEPD
Estimates for excess-loss premiums using EPD estimates
ExcessGPD
Estimates for excess-loss premiums using GPD-MLE estimates