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ReIns (version 1.0.12)

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

446

Version

1.0.12

License

GPL (>= 2)

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Repository

https://github.com/TReynkens/ReIns

Maintainer

Tom Reynkens

Last Published

March 8th, 2023

Functions in ReIns (1.0.12)

Exponential quantile plot

The generalised Pareto distribution

Fit GPD using MLE

Fit EPD using MLE

Select optimal threshold for Hill estimator

Kaplan-Meier estimator

Bias-reduced MLE (Quantile view)

GPD-ML estimator

GPD residual plot

The Frechet distribution

Moment estimator

Mean excess function

Mean excess function using Turnbull estimator

Derivative plot of the Pareto QQ-plot

Pareto quantile plot

Log-normal quantile plot

Least Squares tail estimator

Estimator of extreme quantiles using generalised Hill

Estimator of extreme quantiles using GPD-MLE

The Pareto distribution

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

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

Second order refined Weissman estimator of extreme quantiles (QV)

Weissman estimator of extreme quantiles

Estimator of small exceedance probabilities and large return periods using EPD

Weissman estimator of small exceedance probabilities and large return periods

Estimator of small tail probability in regression

Mixed Erlang fit

Estimator of small exceedance probabilities and large return periods using MOM

LognormalQQ_der

Derivative plot of the log-normal QQ-plot

Splicing of mixed Erlang and GPD using POT-MLE

Plot of fitted and empirical survival function

Spliced distribution

Scale estimator

Bias-reduced scale estimator using second order Hill estimator

SpliceFitPareto

Splicing of mixed Erlang and Pareto

Estimator of extreme quantiles using MOM

Estimator of extreme quantiles in regression

Splicing quantile plot using Turnbull estimator

Splicing quantile plot

Bias-reduced scale estimator using EPD estimator

Scale estimator in regression

LL-plot with fitted and empirical survival function

LL-plot with fitted and Turnbull survival function

Turnbull estimator

Plot of fitted and Turnbull survival function

PP-plot with fitted and empirical survival function

SpliceFiticPareto

Splicing of mixed Erlang and Pareto for interval censored data

PP-plot with fitted and Turnbull survival function

EPD estimator for right censored data

Derivative plot of the Weibull QQ-plot

MOM estimator for right censored data

Pareto quantile plot for right censored data

Log-normal quantile plot for right censored data

Hill estimator for right censored data

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

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

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

Estimator of large quantiles using censored Hill

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

VaR of splicing fit

Weibull quantile plot

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

Exponential quantile plot for right censored data

GPD-ML estimator for right censored data

Estimator of large quantiles using censored Hill

Estimator of large quantiles using censored GPD-MLE

Weibull quantile plot for right censored data

Estimator of large quantiles using censored MOM

Hill estimator for interval censored data

Norwegian fire insurance data

Generalised Hill estimator

Pareto quantile plot for interval censored data

Non-parametric estimator of conditional survival function

Conditional Pareto quantile plot for right censored data

The truncated Pareto distribution

The truncated generalised Pareto distribution

Gram-Charlier approximation

Generalised quantile plot

Classical estimators for the CDF

Edgeworth approximation

Generalised Hill estimator for right censored data

Hill-type estimator for the conditional EVI

The truncated exponential distribution

SOA Group Medical Insurance Large Claims Database

The truncated Frechet distribution

Non-parametric estimators of the STDF

The truncated Burr distribution

The truncated log-normal distribution

Estimator of endpoint

Estimator of endpoint

Estimator of large quantiles using truncated MLE

Truncated Pareto quantile plot

The truncated Weibull distribution

Hill estimator for upper truncated data

Estimator of small exceedance probabilities using truncated Hill

Estimator of large quantiles using truncated Hill

Truncation odds

Estimator of small exceedance probabilities using truncated MLE

Truncation odds

Test for truncated GPD tails

MLE estimator for upper truncated data

Test for truncated Pareto-type tails

Extended Pareto

The Extended Pareto Distribution

Estimates for excess-loss premiums using splicing

Conditional Tail Expectation

Estimates for excess-loss premiums using GPD-MLE estimates

Estimates for excess-loss premiums using a Pareto model

Estimates for excess-loss premiums using EPD estimates

The Burr distribution