igollini/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.

Getting started

Package details

Maintainer
LicenseGPL-2 | GPL-3
Version1.0
URL http://github.com/igollini/tailloss
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("igollini/tailloss")
igollini/tailloss documentation built on May 17, 2017, 3:11 a.m.