Functions for computing the ValueatRisk in compound Poisson models. The implementation comprises functions for modeling loss frequencies and loss severities with plain, mixed (Frigessi et al. (2012) <doi:10.1023/A:1024072610684>) or spliced distributions using Maximum Likelihood estimation and Bayesian approaches (Ergashev et al. (2013) <doi:10.21314/JOP.2013.131>). In particular, the parametrization of tail distributions includes the fitting of Tukeytype distributions (Kuo and Headrick (2014) <doi:10.1155/2014/645823>). Furthermore, the package contains the modeling of bivariate dependencies between loss severities and frequencies, Monte Carlo simulation for total loss estimation as well as a closedform approximation based on Degen (2010) <doi:10.21314/JOP.2010.084> to determine the valueatrisk.
Package details 


Author  Christina Zou [aut,cre], Marius Pfeuffer [aut], Matthias Fischer [aut], Kristina Dehler [ctb], Nicole Derfuss [ctb], Benedikt Graswald [ctb], Linda Moestel [ctb], Jixuan Wang [ctb], Leonie Wicht [ctb] 
Maintainer  Christina Zou <christina.zou@maths.ox.ac.uk> 
License  GPL3 
Version  1.0.5 
Package repository  View on CRAN 
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