Pareto is an R package providing methods and tools for the Pareto, the piecewise Pareto and the generalized Pareto distribution which are useful for pricing of reinsurance treaties:
Moreover, the package provides some functions for collective models with a claim count distribution from the Panjer class (i.e. Binomial, Poisson and Negative Binomial) and a piecewise Pareto distributed severity:
All methods are also available for truncated versions of the (piecewise) Pareto distribution.
To install the current development version from github you need the devtools package and the other packages on which Pareto depends and links to:
To install Pareto run:
library(devtools) install_github("ulrichriegel/Pareto", build_vignettes = TRUE)
This package is free and open source software, licensed under GPL.
To Stefan Foerster for his NPAddins which I used a lot in my daily work and which inspired me to create this package.
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