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.

Browse man pages Browse package API and functions Browse package files

AuthorIsabella Gollini [aut, cre], Jonathan Rougier [ctb]
Date of publication2015-07-08 14:48:30
MaintainerIsabella Gollini <igollini.stats@gmail.com>
LicenseGPL-2 | GPL-3
Version1.0
URL http://github.com/igollini/tailloss
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("tailloss")

Man pages

compressELT: Compress the event loss table
ELT: Event Loss Table
fCantelli: Cantelli Bound.
fChernoff: Chernoff Bound.
fMarkov: Markov Bound.
fMoment: Moment Bound.
fMonteCarlo: Monte Carlo Simulations.
fPanjer: Panjer Recursion.
summary.ELT: Summary statistics for class ELT.
tailloss-package: Evaluate the Probability in the Upper Tail of the Aggregate...
UShurricane: US hurricane data
zoombox: Function for zooming onto a matplot(x, y, ...).

Functions

ELT Man page Source code
UShurricane Man page
compressELT Man page Source code
fCantelli Man page Source code
fChernoff Man page Source code
fMarkov Man page Source code
fMoment Man page Source code
fMonteCarlo Man page Source code
fPanjer Man page Source code
getMaxMom Source code
getMoments Source code
igamma Source code
is.scalar Source code
summary.ELT Man page Source code
tailloss Man page
tailloss-package Man page
zoombox Man page Source code

Files

inst
inst/examples
inst/examples/codeGolliniRougier2015.R
NAMESPACE
data
data/UShurricane.csv.gz
R
R/fCantelli.R
R/getMoments.R
R/summary.ELT.R
R/fChernoff.R
R/igamma.R
R/UShurricane.R
R/zoombox.R
R/fMarkov.R
R/getMaxMom.R
R/compressELT.R
R/fPanjer.R
R/fMonteCarlo.R
R/fMoment.R
R/is.scalar.R
R/tailloss-package.R
R/ELT.R
README.md
MD5
DESCRIPTION
man
man/fMarkov.Rd
man/tailloss-package.Rd
man/fMoment.Rd
man/ELT.Rd
man/fPanjer.Rd
man/UShurricane.Rd
man/fChernoff.Rd
man/fCantelli.Rd
man/summary.ELT.Rd
man/fMonteCarlo.Rd
man/zoombox.Rd
man/compressELT.Rd
tailloss documentation built on May 19, 2017, 3:27 p.m.