tailloss: Estimate the Probability in the Upper Tail of the Aggregate Loss Distribution
Version 1.0

Set of tools to estimate the probability in the upper tail of the aggregate loss distribution using different methods: Panjer recursion, Monte Carlo simulations, Markov bound, Cantelli bound, Moment bound, and Chernoff bound.

Package details

AuthorIsabella Gollini [aut, cre], Jonathan Rougier [ctb]
Date of publication2015-07-08 14:48:30
MaintainerIsabella Gollini <[email protected]>
LicenseGPL-2 | GPL-3
URL http://github.com/igollini/tailloss
Package repositoryView on CRAN
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tailloss documentation built on May 29, 2017, 5:41 p.m.