The idea of this package emerged in 2013 from G Spedicato who at this time worked in the area of quantitative risk assessment. In 2015, M Gesmann and C Dutang joined the project. This project is hosted in github.
This package contains the definition of the MBBEFD distributions (distribution function, density, quantile functions, random generation, aka d, p, q, r) as well as MBBEFD exposure curve (ec) and raw moments (m).
This package also focuses on other distributions used for destruction rate modelling, that is the beta, the shifted truncated Pareto and the generalized beta distributions. Due to the presence of total loss, a one-inflated version of the previous distributions is also provided.
The vignette shows code snippets to fit the distribution to empirical data: Exposure rating, destruction rate models and the mbbefd package.
Giorgio Alfredo Spedicato [cre, aut], Christophe Dutang [aut]
and Markus Gesmann [ctb]
Maintainer: Giorgio Spedicato <email@example.com>
BERNEGGER, STEFAN. THE SWISS RE EXPOSURE CURVES AND THE MBBEFD DISTRIBUTION CLASS. Astin Bulletin (1997): 99.
mbbefd-distr for the MBBEFD distribution;
exposureCurve for exposure curves;
stpareto for finite-support distributions;
oistpareto for one-inflated distributions.