ReIns v1.0.10

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Functions from "Reinsurance: Actuarial and Statistical Aspects"

Functions from the book "Reinsurance: Actuarial and Statistical Aspects" (2017) by Hansjoerg Albrecher, Jan Beirlant and Jef Teugels <http://www.wiley.com/WileyCDA/WileyTitle/productCd-0470772689.html>.

Functions in ReIns

Name Description
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
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Vignettes of ReIns

Name
ReIns.Rmd
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Details

Date 2020-05-16
LinkingTo Rcpp
License GPL (>= 2)
URL http://www.hec.unil.ch/halbrech_files/reinsurance.html, https://github.com/TReynkens/ReIns
BugReports https://github.com/TReynkens/ReIns/issues
VignetteBuilder knitr
Encoding UTF-8
NeedsCompilation yes
ByteCompile yes
Packaged 2020-05-16 08:00:27 UTC; tom
Repository CRAN
Date/Publication 2020-05-17 00:00:02 UTC

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