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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

665

Version

1.0.13

License

GPL (>= 2)

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Repository

https://github.com/TReynkens/ReIns

Maintainer

Tom Reynkens

Last Published

September 13th, 2023

Functions in ReIns (1.0.13)

Fit GPD using MLE

Bias-reduced MLE (Quantile view)

Select optimal threshold for Hill estimator

The generalised Pareto distribution

GPD-ML estimator

Exponential quantile plot

GPD residual plot

Kaplan-Meier estimator

The Frechet distribution

Derivative plot of the Pareto QQ-plot

Mean excess function using Turnbull estimator

Mean excess function

LognormalQQ_der

Derivative plot of the log-normal QQ-plot

Mixed Erlang fit

Moment estimator

Least Squares tail estimator

Pareto quantile plot

Log-normal quantile plot

The Pareto distribution

Estimator of extreme quantiles using generalised Hill

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 exceedance probabilities and large return periods using MOM

Estimator of extreme quantiles using GPD-MLE

Second order refined Weissman estimator of extreme quantiles (QV)

Weissman estimator of small exceedance probabilities and large return periods

Estimator of small tail probability in regression

Weissman estimator of extreme quantiles

Estimator of small exceedance probabilities and large return periods using EPD

Bias-reduced scale estimator using EPD estimator

Estimator of extreme quantiles using MOM

Estimator of extreme quantiles in regression

Spliced distribution

Plot of fitted and empirical survival function

Scale estimator in regression

Splicing of mixed Erlang and GPD using POT-MLE

Bias-reduced scale estimator using second order Hill estimator

LL-plot with fitted and Turnbull survival function

Turnbull estimator

Plot of fitted and Turnbull survival function

Scale estimator

LL-plot with fitted and empirical survival function

PP-plot with fitted and empirical survival function

Splicing quantile plot

Splicing quantile plot using Turnbull estimator

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

Derivative plot of the Weibull QQ-plot

EPD estimator for right censored data

Exponential quantile plot for right censored data

Hill estimator for right censored data

Log-normal quantile plot for right censored data

MOM estimator for right censored data

GPD-ML estimator for right censored data

Pareto quantile plot for right censored data

Weibull quantile plot

VaR of splicing fit

Estimator of large quantiles using censored Hill

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

Estimator of large quantiles using censored GPD-MLE

Estimator of large quantiles using censored Hill

Weibull quantile plot for right censored data

Estimator of large quantiles using censored MOM

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

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

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

Hill-type estimator for the conditional EVI

Conditional Pareto quantile plot for right censored data

Norwegian fire insurance data

Classical estimators for the CDF

Pareto quantile plot for interval censored data

Generalised Hill estimator for right censored data

Hill estimator for interval censored data

Generalised Hill estimator

Non-parametric estimator of conditional survival function

Generalised quantile plot

Non-parametric estimators of the STDF

SOA Group Medical Insurance Large Claims Database

Edgeworth approximation

Gram-Charlier approximation

The truncated exponential distribution

The truncated Frechet distribution

The truncated generalised Pareto distribution

The truncated Burr distribution

The truncated Pareto distribution

Truncation odds

Estimator of endpoint

The truncated log-normal distribution

Estimator of endpoint

Truncation odds

Truncated Pareto quantile plot

MLE estimator for upper truncated data

Hill estimator for upper truncated data

The truncated Weibull distribution

Estimator of small exceedance probabilities using truncated Hill

Test for truncated GPD tails

Estimator of small exceedance probabilities using truncated MLE

Estimator of large quantiles using truncated Hill

Estimator of large quantiles using truncated MLE

Test for truncated Pareto-type tails

The Burr distribution

Estimates for excess-loss premiums using a Pareto model

Estimates for excess-loss premiums using splicing

Conditional Tail Expectation

Extended Pareto

The Extended Pareto Distribution

Fit EPD using MLE

Estimates for excess-loss premiums using EPD estimates

Estimates for excess-loss premiums using GPD-MLE estimates