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.

Install the latest version of this package by entering the following in R:
install.packages("tailloss")
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
http://github.com/igollini/tailloss

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Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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