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ReIns (version 1.0.7)

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

570

Version

1.0.7

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

April 24th, 2018

Functions in ReIns (1.0.7)

Pareto quantile plot

Kaplan-Meier estimator

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

Splicing quantile plot

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

Scale estimator

Bias-reduced scale estimator using second order Hill estimator

Splicing quantile plot using Turnbull estimator

Moment estimator

Hill estimator for right censored data

Weissman estimator of extreme quantiles

Mean excess function using Turnbull estimator

Mean excess function

Plot of fitted and Turnbull survival function

Exponential quantile plot for right censored data

Plot of fitted and empirical survival function

Second order refined Weissman estimator of extreme quantiles (QV)

Turnbull estimator

The Pareto distribution

Spliced distribution

LognormalQQ_der

Derivative plot of the log-normal QQ-plot

Log-normal quantile plot

Weissman estimator of small exceedance probabilities and large return periods

Least Squares tail estimator

Log-normal quantile plot for right censored data

Estimator of large quantiles using censored Hill

Splicing of mixed Erlang and GPD using POT-MLE

PP-plot with fitted and empirical survival function

GPD-ML estimator for right censored data

Estimator of small exceedance probabilities and large return periods using EPD

Estimator of large quantiles using censored GPD-MLE

PP-plot with fitted and Turnbull survival function

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

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

Generalised Hill estimator

Estimator of small exceedance probabilities and large return periods using MOM

Norwegian fire insurance data

Derivative plot of the Pareto QQ-plot

Mixed Erlang fit

Estimator of small tail probability in regression

Derivative plot of the Weibull QQ-plot

EPD estimator for right censored data

Generalised quantile plot

Estimator of extreme quantiles using generalised Hill

Estimator of large quantiles using censored MOM

Estimator of extreme quantiles using MOM

MLE estimator for upper truncated data

Hill estimator for upper truncated data

Weibull quantile plot for right censored data

Test for truncated GPD tails

SOA Group Medical Insurance Large Claims Database

SpliceFitPareto

Splicing of mixed Erlang and Pareto

Estimator of extreme quantiles in regression

Classical estimators for the CDF

Conditional Pareto quantile plot for right censored data

Estimator of extreme quantiles using GPD-MLE

The truncated generalised Pareto distribution

Bias-reduced scale estimator using EPD estimator

Scale estimator in regression

The truncated Pareto distribution

LL-plot with fitted and Turnbull survival function

LL-plot with fitted and empirical survival function

Non-parametric estimator of conditional survival function

MOM estimator for right censored data

Pareto quantile plot for right censored data

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

The truncated exponential distribution

The truncated Weibull distribution

The truncated log-normal distribution

tFr<U+00E9>chet

The truncated Frechet distribution

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

Truncation odds

Truncation odds

Estimator of small exceedance probabilities using truncated MLE

Estimator of large quantiles using truncated Hill

Generalised Hill estimator for right censored data

Estimator of large quantiles using truncated MLE

Hill-type estimator for the conditional EVI

Non-parametric estimators of the STDF

Estimator of endpoint

Estimator of endpoint

The truncated Burr distribution

Test for truncated Pareto-type tails

SpliceFiticPareto

Splicing of mixed Erlang and Pareto for interval censored data

VaR of splicing fit

Weibull quantile plot

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

Estimator of large quantiles using censored Hill

Hill estimator for interval censored data

Pareto quantile plot for interval censored data

Edgeworth approximation

Gram-Charlier approximation

Truncated Pareto quantile plot

Estimator of small exceedance probabilities using truncated Hill

Conditional Tail Expectation

Estimates for excess-loss premiums using splicing

Fit EPD using MLE

Estimates for excess-loss premiums using a Pareto model

Extended Pareto

The Extended Pareto Distribution

The Burr distribution

Estimates for excess-loss premiums using GPD-MLE estimates

Estimates for excess-loss premiums using EPD estimates

Fit GPD using MLE

Exponential quantile plot

Bias-reduced MLE (Quantile view)

GPD-ML estimator

GPD residual plot

Select optimal threshold for Hill estimator

The Frechet distribution

The generalised Pareto distribution