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tailloss: Estimate the Probability in the Upper Tail of the Aggregate Loss Distribution
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.
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Package details |
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| Author | Isabella Gollini [aut, cre], Jonathan Rougier [ctb] |
| Maintainer | Isabella Gollini <igollini.stats@gmail.com> |
| License | GPL-2 | GPL-3 |
| Version | 1.0 |
| URL | http://github.com/igollini/tailloss |
| Package repository | View on CRAN |
| Installation |
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