igollini/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.
Getting started
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Package details |
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| Maintainer | |
| License | GPL-2 | GPL-3 |
| Version | 1.0 |
| URL | http://github.com/igollini/tailloss |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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