# EVTfit: EVT fit In ReIns: Functions from "Reinsurance: Actuarial and Statistical Aspects"

 EVTfit R Documentation

## 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.

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.

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.