EVTfit: EVT fit

In ReIns: Functions from "Reinsurance: Actuarial and Statistical Aspects"

EVT fit

Description

Create an S3 object using an EVT (Extreme Value Theory) fit.

Usage

EVTfit(gamma, endpoint = NULL, sigma = NULL)

Arguments

gamma	Vector of estimates for \gamma.
endpoint	Vector of endpoints (with the same length as gamma). When NULL (default), a vector containing Inf for each value of gamma will be used.
sigma	Vector of scale estimates for the GPD (with the same length as gamma). When NULL (default), not included in the object.

Details

See Reynkens et al. (2017) and Section 4.3 of Albrecher et al. (2017) for details.

Value

An S3 object containing the above input arguments.

Author(s)

Tom Reynkens

References

Albrecher, H., Beirlant, J. and Teugels, J. (2017). Reinsurance: Actuarial and Statistical Aspects, Wiley, Chichester.

Reynkens, T., Verbelen, R., Beirlant, J. and Antonio, K. (2017). "Modelling Censored Losses Using Splicing: a Global Fit Strategy With Mixed Erlang and Extreme Value Distributions". Insurance: Mathematics and Economics, 77, 65–77.

See Also

SpliceFit, SpliceFitPareto, SpliceFiticPareto, SpliceFitGPD

Examples

# Create MEfit object
mefit <- MEfit(p=c(0.65,0.35), shape=c(39,58), theta=16.19, M=2)

# Create EVTfit object
evtfit <- EVTfit(gamma=c(0.76,0.64), endpoint=c(39096, Inf))

# Create SpliceFit object
splicefit <- SpliceFit(const=c(0.5,0.996), trunclower=0, t=c(1020,39096), type=c("ME","TPa","Pa"),
                       MEfit=mefit, EVTfit=evtfit)

# Show summary
summary(splicefit)

ReIns documentation built on Nov. 3, 2023, 5:08 p.m.