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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 .

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Install

install.packages('ReIns')

Monthly Downloads

396

Version

1.0.10

License

GPL (>= 2)

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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)

Estimates for excess-loss premiums using GPD-MLE estimates

Estimates for excess-loss premiums using splicing

Extended Pareto

The Extended Pareto Distribution

Estimates for excess-loss premiums using a Pareto model

Estimates for excess-loss premiums using EPD estimates

Fit EPD using MLE

The generalised Pareto distribution

The Burr distribution

GPD residual plot

GPD-ML estimator

LognormalQQ_der

Derivative plot of the log-normal QQ-plot

Conditional Tail Expectation

Exponential quantile plot

The Frechet distribution

Mixed Erlang fit

Mean excess function

Select optimal threshold for Hill estimator

Bias-reduced MLE (Quantile view)

Least Squares tail estimator

Kaplan-Meier estimator

Log-normal quantile plot

Estimator of small exceedance probabilities and large return periods using generalised Hill

Estimator of small exceedance probabilities and large return periods using GPD-MLE

Estimator of small tail probability in regression

Plot of fitted and Turnbull survival function

Estimator of small exceedance probabilities and large return periods using MOM

Mean excess function using Turnbull estimator

Turnbull estimator

Fit GPD using MLE

Splicing of mixed Erlang and GPD using POT-MLE

Weissman estimator of small exceedance probabilities and large return periods

Derivative plot of the Pareto QQ-plot

Pareto quantile plot

Bias-reduced scale estimator using second order Hill estimator

Estimator of large quantiles using censored MOM

Weibull quantile plot for right censored data

Derivative plot of the Weibull QQ-plot

EPD estimator for right censored data

Conditional Pareto quantile plot for right censored data

Non-parametric estimator of conditional survival function

SpliceFitPareto

Splicing of mixed Erlang and Pareto

Scale estimator

Weissman estimator of extreme quantiles

The truncated generalised Pareto distribution

Truncation odds

Truncation odds

The truncated Pareto distribution

Estimator of small exceedance probabilities and large return periods using EPD

Spliced distribution

PP-plot with fitted and empirical survival function

VaR of splicing fit

PP-plot with fitted and Turnbull survival function

Weibull quantile plot

SpliceFiticPareto

Splicing of mixed Erlang and Pareto for interval censored data

Moment estimator

The Pareto distribution

MOM estimator for right censored data

Plot of fitted and empirical survival function

LL-plot with fitted and empirical survival function

Pareto quantile plot for right censored data

Estimator of large quantiles using censored Hill

Estimator of small exceedance probabilities and large return periods using censored MOM

Estimator of large quantiles using censored Hill

Estimator of large quantiles using censored GPD-MLE

Hill estimator for interval censored data

Estimator of large quantiles using truncated MLE

Estimator of small exceedance probabilities and large return periods using censored GPD-MLE

Estimator of small exceedance probabilities and large return periods using censored generalised Hill

LL-plot with fitted and Turnbull survival function

Pareto quantile plot for interval censored data

The truncated Burr distribution

Non-parametric estimators of the STDF

Hill estimator for upper truncated data

Estimator of extreme quantiles using generalised Hill

Estimator of extreme quantiles using GPD-MLE

Test for truncated Pareto-type tails

Hill-type estimator for the conditional EVI

Generalised Hill estimator for right censored data

Estimator of small exceedance probabilities using truncated MLE

MLE estimator for upper truncated data

Estimator of large quantiles using truncated Hill

Scale estimator in regression

Splicing quantile plot

Second order refined Weissman estimator of extreme quantiles (QV)

Bias-reduced scale estimator using EPD estimator

The truncated exponential distribution

Estimator of endpoint

tFr<U+00E9>chet

The truncated Frechet distribution

Splicing quantile plot using Turnbull estimator

Estimator of extreme quantiles in regression

Estimator of extreme quantiles using MOM

Norwegian fire insurance data

Hill estimator for right censored data

Log-normal quantile plot for right censored data

Exponential quantile plot for right censored data

Classical estimators for the CDF

Estimator of endpoint

SOA Group Medical Insurance Large Claims Database

Test for truncated GPD tails

The truncated Weibull distribution

GPD-ML estimator for right censored data

Estimator of small exceedance probabilities and large return periods using censored Hill

Estimator of small exceedance probabilities and large return periods using censored EPD

The truncated log-normal distribution

Generalised quantile plot

Generalised Hill estimator

Edgeworth approximation

Truncated Pareto quantile plot

Estimator of small exceedance probabilities using truncated Hill

Gram-Charlier approximation

The Frechet distribution

The truncated Frechet distribution