RDocumentation
Moon
Learn R
Search all packages and functions
⚠️
There's a newer version (1.0.13) of this package.
Take me there.
ReIns (version 1.0.10)
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
.
Copy Link
Copy
Link to current version
Version
Version
1.0.13
1.0.12
1.0.11
1.0.10
1.0.9
1.0.8
1.0.7
1.0.6
1.0.5
1.0.4
1.0.2
1.0.1
1.0.0
Down Chevron
Install
install.packages('ReIns')
Monthly Downloads
1,319
Version
1.0.10
License
GPL (>= 2)
Issues
0
Pull Requests
0
Stars
19
Forks
17
Repository
https://github.com/TReynkens/ReIns
Homepage
http://www.hec.unil.ch/halbrech_files/reinsurance.html
Maintainer
Tom Reynkens
Last Published
May 17th, 2020
Functions in ReIns (1.0.10)
Search functions
ExcessGPD
Estimates for excess-loss premiums using GPD-MLE estimates
ExcessSplice
Estimates for excess-loss premiums using splicing
Extended Pareto
The Extended Pareto Distribution
ExcessPareto
Estimates for excess-loss premiums using a Pareto model
ExcessEPD
Estimates for excess-loss premiums using EPD estimates
EPD
EPD estimator
EVTfit
EVT fit
EPDfit
Fit EPD using MLE
Hill
Hill estimator
GPD
The generalised Pareto distribution
Burr
The Burr distribution
GPDresiduals
GPD residual plot
GPDmle
GPD-ML estimator
LognormalQQ_der
Derivative plot of the log-normal QQ-plot
CTE
Conditional Tail Expectation
ExpQQ
Exponential quantile plot
Fr<U+00E9>chet
The Frechet distribution
MEfit
Mixed Erlang fit
MeanExcess
Mean excess function
Hill.kopt
Select optimal threshold for Hill estimator
Hill.2oQV
Bias-reduced MLE (Quantile view)
LStail
Least Squares tail estimator
KaplanMeier
Kaplan-Meier estimator
LognormalQQ
Log-normal quantile plot
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
ProbReg
Estimator of small tail probability in regression
SpliceTB
Plot of fitted and Turnbull survival function
ProbMOM
Estimator of small exceedance probabilities and large return periods using MOM
MeanExcess_TB
Mean excess function using Turnbull estimator
SpliceFit
Splicing fit
Turnbull
Turnbull estimator
GPDfit
Fit GPD using MLE
SpliceFitGPD
Splicing of mixed Erlang and GPD using POT-MLE
Prob
Weissman estimator of small exceedance probabilities and large return periods
ParetoQQ_der
Derivative plot of the Pareto QQ-plot
ParetoQQ
Pareto quantile plot
Scale.2o
Bias-reduced scale estimator using second order Hill estimator
cQuantMOM
Estimator of large quantiles using censored MOM
cWeibullQQ
Weibull quantile plot for right censored data
WeibullQQ_der
Derivative plot of the Weibull QQ-plot
cEPD
EPD estimator for right censored data
crParetoQQ
Conditional Pareto quantile plot for right censored data
crSurv
Non-parametric estimator of conditional survival function
SpliceFitPareto
Splicing of mixed Erlang and Pareto
Scale
Scale estimator
Quant
Weissman estimator of extreme quantiles
tGPD
The truncated generalised Pareto distribution
trDT
Truncation odds
trDTMLE
Truncation odds
tPareto
The truncated Pareto distribution
ProbEPD
Estimator of small exceedance probabilities and large return periods using EPD
Splice
Spliced distribution
SplicePP
PP-plot with fitted and empirical survival function
VaR
VaR of splicing fit
SplicePP_TB
PP-plot with fitted and Turnbull survival function
WeibullQQ
Weibull quantile plot
SpliceFiticPareto
Splicing of mixed Erlang and Pareto for interval censored data
Moment
Moment estimator
Pareto
The Pareto distribution
cMoment
MOM estimator for right censored data
SpliceECDF
Plot of fitted and empirical survival function
SpliceLL
LL-plot with fitted and empirical survival function
cParetoQQ
Pareto quantile plot for right censored data
cQuantGH
Estimator of large quantiles using censored Hill
cProbMOM
Estimator of small exceedance probabilities and large return periods using censored MOM
cQuant
Estimator of large quantiles using censored Hill
cQuantGPD
Estimator of large quantiles using censored GPD-MLE
icHill
Hill estimator for interval censored data
trQuantMLE
Estimator of large quantiles using truncated MLE
cProbGPD
Estimator of small exceedance probabilities and large return periods using censored GPD-MLE
cProbGH
Estimator of small exceedance probabilities and large return periods using censored generalised Hill
SpliceLL_TB
LL-plot with fitted and Turnbull survival function
icParetoQQ
Pareto quantile plot for interval censored data
tBurr
The truncated Burr distribution
stdf
Non-parametric estimators of the STDF
trHill
Hill estimator for upper truncated data
QuantGH
Estimator of extreme quantiles using generalised Hill
QuantGPD
Estimator of extreme quantiles using GPD-MLE
trTest
Test for truncated Pareto-type tails
crHill
Hill-type estimator for the conditional EVI
cgenHill
Generalised Hill estimator for right censored data
trProbMLE
Estimator of small exceedance probabilities using truncated MLE
trMLE
MLE estimator for upper truncated data
trQuant
Estimator of large quantiles using truncated Hill
ScaleReg
Scale estimator in regression
SpliceQQ
Splicing quantile plot
Quant.2oQV
Second order refined Weissman estimator of extreme quantiles (QV)
ScaleEPD
Bias-reduced scale estimator using EPD estimator
tExp
The truncated exponential distribution
trEndpoint
Estimator of endpoint
tFr<U+00E9>chet
The truncated Frechet distribution
SpliceQQ_TB
Splicing quantile plot using Turnbull estimator
QuantReg
Estimator of extreme quantiles in regression
QuantMOM
Estimator of extreme quantiles using MOM
norwegianfire
Norwegian fire insurance data
cHill
Hill estimator for right censored data
cLognormalQQ
Log-normal quantile plot for right censored data
cExpQQ
Exponential quantile plot for right censored data
pClas
Classical estimators for the CDF
trEndpointMLE
Estimator of endpoint
secura
Secura dataset
soa
SOA Group Medical Insurance Large Claims Database
trTestMLE
Test for truncated GPD tails
tWeibull
The truncated Weibull distribution
cGPDmle
GPD-ML estimator for right censored data
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
tlnorm
The truncated log-normal distribution
genQQ
Generalised quantile plot
genHill
Generalised Hill estimator
pEdge
Edgeworth approximation
trParetoQQ
Truncated Pareto quantile plot
trProb
Estimator of small exceedance probabilities using truncated Hill
pGC
Gram-Charlier approximation
Fréchet
The Frechet distribution
tFréchet
The truncated Frechet distribution