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

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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.

Author
Isabella Gollini [aut, cre], Jonathan Rougier [ctb]
Date of publication
2015-07-08 14:48:30
Maintainer
Isabella Gollini <igollini.stats@gmail.com>
License
GPL-2 | GPL-3
Version
1.0
URLs

View on CRAN

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, ...).

Files in this package

tailloss
tailloss/inst
tailloss/inst/examples
tailloss/inst/examples/codeGolliniRougier2015.R
tailloss/NAMESPACE
tailloss/data
tailloss/data/UShurricane.csv.gz
tailloss/R
tailloss/R/fCantelli.R
tailloss/R/getMoments.R
tailloss/R/summary.ELT.R
tailloss/R/fChernoff.R
tailloss/R/igamma.R
tailloss/R/UShurricane.R
tailloss/R/zoombox.R
tailloss/R/fMarkov.R
tailloss/R/getMaxMom.R
tailloss/R/compressELT.R
tailloss/R/fPanjer.R
tailloss/R/fMonteCarlo.R
tailloss/R/fMoment.R
tailloss/R/is.scalar.R
tailloss/R/tailloss-package.R
tailloss/R/ELT.R
tailloss/README.md
tailloss/MD5
tailloss/DESCRIPTION
tailloss/man
tailloss/man/fMarkov.Rd
tailloss/man/tailloss-package.Rd
tailloss/man/fMoment.Rd
tailloss/man/ELT.Rd
tailloss/man/fPanjer.Rd
tailloss/man/UShurricane.Rd
tailloss/man/fChernoff.Rd
tailloss/man/fCantelli.Rd
tailloss/man/summary.ELT.Rd
tailloss/man/fMonteCarlo.Rd
tailloss/man/zoombox.Rd
tailloss/man/compressELT.Rd