ulrichriegel/Pareto: The Pareto, Piecewise Pareto and Generalized Pareto Distribution

Utilities for the Pareto, piecewise Pareto and generalized Pareto distribution that are useful for reinsurance pricing. In particular, the package provides a non-trivial algorithm that can be used to match the expected losses of a tower of reinsurance layers with a layer-independent collective risk model. The theoretical background of the matching algorithm and most other methods are described in Ulrich Riegel (2018) <doi:10.1007/s13385-018-0177-3>.

Getting started

Package details

LicenseGPL (>= 2)
URL https://github.com/ulrichriegel/Pareto#pareto
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
ulrichriegel/Pareto documentation built on Sept. 15, 2020, 5:38 p.m.