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ReIns (version 1.0.15)

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

490

Version

1.0.15

License

GPL (>= 2)

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Repository

https://github.com/TReynkens/ReIns

Maintainer

Tom Reynkens

Last Published

December 2nd, 2024

Functions in ReIns (1.0.15)

Kaplan-Meier estimator

GPD-ML estimator

Bias-reduced MLE (Quantile view)

Select optimal threshold for Hill estimator

The generalised Pareto distribution

Exponential quantile plot

Fit GPD using MLE

The Frechet distribution

GPD residual plot

Least Squares tail estimator

Mixed Erlang fit

LognormalQQ_der

Derivative plot of the log-normal QQ-plot

The Pareto distribution

Moment estimator

Estimator of small exceedance probabilities and large return periods using EPD

Weissman estimator of small exceedance probabilities and large return periods

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

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

Derivative plot of the Pareto QQ-plot

Pareto quantile plot

Estimator of small tail probability in regression

Mean excess function using Turnbull estimator

Estimator of small exceedance probabilities and large return periods using MOM

Mean excess function

Second order refined Weissman estimator of extreme quantiles (QV)

Log-normal quantile plot

Weissman estimator of extreme quantiles

Estimator of extreme quantiles using GPD-MLE

Estimator of extreme quantiles using generalised Hill

Spliced distribution

Splicing of mixed Erlang and GPD using POT-MLE

Plot of fitted and empirical survival function

Estimator of extreme quantiles using MOM

Estimator of extreme quantiles in regression

Scale estimator

Bias-reduced scale estimator using second order Hill estimator

PP-plot with fitted and empirical survival function

Splicing quantile plot using Turnbull estimator

Splicing quantile plot

PP-plot with fitted and Turnbull survival function

Plot of fitted and Turnbull survival function

Turnbull estimator

Exponential quantile plot for right censored data

Scale estimator in regression

SpliceFiticPareto

Splicing of mixed Erlang and Pareto for interval censored data

LL-plot with fitted and Turnbull survival function

Hill estimator for right censored data

Bias-reduced scale estimator using EPD estimator

LL-plot with fitted and empirical survival function

SpliceFitPareto

Splicing of mixed Erlang and Pareto

VaR of splicing fit

Weibull quantile plot

Pareto quantile plot for right censored data

MOM estimator for right censored data

Log-normal 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

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 large quantiles using censored MOM

Weibull 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

Hill estimator for interval censored data

Generalised Hill estimator

Norwegian fire insurance data

Generalised quantile plot

Classical estimators for the CDF

Pareto quantile plot for interval censored data

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

Generalised Hill estimator for right censored data

EPD estimator for right censored data

Non-parametric estimator of conditional survival function

Derivative plot of the Weibull QQ-plot

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

Gram-Charlier approximation

Conditional Pareto quantile plot for right censored data

The truncated Frechet distribution

Hill-type estimator for the conditional EVI

Edgeworth approximation

Non-parametric estimators of the STDF

The truncated Burr distribution

The truncated generalised Pareto distribution

Truncated Pareto quantile plot

SOA Group Medical Insurance Large Claims Database

Truncation odds

Truncation odds

The truncated exponential distribution

Hill estimator for upper truncated data

MLE estimator for upper truncated data

The truncated Weibull distribution

The truncated log-normal distribution

The truncated Pareto distribution

Estimator of small exceedance probabilities using truncated Hill

Estimator of large quantiles using truncated MLE

Test for truncated Pareto-type tails

Estimator of endpoint

Estimator of large quantiles using truncated Hill

Estimator of endpoint

Estimator of small exceedance probabilities using truncated MLE

Test for truncated GPD tails

The Burr distribution

Conditional Tail Expectation

Extended Pareto

The Extended Pareto Distribution

Fit EPD using MLE

Estimates for excess-loss premiums using a Pareto model

Estimates for excess-loss premiums using splicing

Estimates for excess-loss premiums using EPD estimates

Estimates for excess-loss premiums using GPD-MLE estimates