Package: ReIns 1.0.14

ReIns: Functions from "Reinsurance: Actuarial and Statistical Aspects"

Functions from the book "Reinsurance: Actuarial and Statistical Aspects" (2017) by Hansjoerg Albrecher, Jan Beirlant and Jef Teugels <https://www.wiley.com/en-us/Reinsurance%3A+Actuarial+and+Statistical+Aspects-p-9780470772683>.

Authors:Tom Reynkens [aut, cre], Roel Verbelen [aut], Anastasios Bardoutsos [ctb], Dries Cornilly [ctb], Yuri Goegebeur [ctb], Klaus Herrmann [ctb]

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ReIns.pdf |ReIns.html✨
ReIns/json (API)
NEWS

# Install 'ReIns' in R:

install.packages('ReIns', repos = c('https://treynkens.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/treynkens/reins/issues

Uses libs:

c++– GNU Standard C++ Library v3

Datasets:

norwegianfire - Norwegian fire insurance data
secura - Secura dataset
soa - SOA Group Medical Insurance Large Claims Database

On CRAN:

extremes reinsurance risk-analysis

174 exports 21 stars 2.19 score 8 dependencies 152 scripts 1.3k downloads

Last updated 11 months agofrom:7ee5b30c6c. Checks:OK: 9. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Aug 22 2024
R-4.5-win-x86_64	OK	Aug 22 2024
R-4.5-linux-x86_64	OK	Aug 22 2024
R-4.4-win-x86_64	OK	Aug 22 2024
R-4.4-mac-x86_64	OK	Aug 22 2024
R-4.4-mac-aarch64	OK	Aug 22 2024
R-4.3-win-x86_64	OK	Aug 22 2024
R-4.3-mac-x86_64	OK	Aug 22 2024
R-4.3-mac-aarch64	OK	Aug 22 2024

Exports:cEPD cExpQQ cgenHill cGPDmle cHill cLognormalQQ cMoment cParetoQQ cPOT cProb cProbEPD cProbGH cProbGPD cProbMOM cQuant cQuantGH cQuantGPD cQuantMOM cReturn cReturnEPD cReturnGH cReturnGPD cReturnMOM crHill crParetoQQ crSurv CTE cWeibullQQ dburr depd dfrechet dgpd dpareto dSplice dtburr dtexp dtfrechet dtgpd dtlnorm dtpareto dtweibull EPD EPDfit ES EVTfit ExcessEPD ExcessGPD ExcessHill ExcessPareto ExcessSplice ExpQQ generalizedQQ genHill genQQ GPDfit GPDmle GPDresiduals Hill Hill.2oQV Hill.kopt icHill icParetoQQ KaplanMeier LognormalQQ LognormalQQ_der LStail MeanExcess MeanExcess_TB MEfit Moment ParetoQQ ParetoQQ_der pburr pClas pEdge pepd pfrechet pGC pgpd POT ppareto Prob ProbEPD ProbGH ProbGPD ProbMOM ProbReg pSplice ptburr ptexp ptfrechet ptgpd ptlnorm ptpareto ptweibull qburr qepd qfrechet qgpd qpareto qSplice qtburr qtexp qtfrechet qtgpd qtlnorm qtpareto qtweibull Quant Quant.2oQV QuantGH QuantGPD QuantMOM QuantReg rburr repd Return ReturnEPD ReturnGH ReturnGPD ReturnMOM rfrechet rgpd rpareto rSplice rtburr rtexp rtfrechet rtgpd rtlnorm rtpareto rtweibull Scale Scale.2o ScaleEPD ScaleReg SpliceECDF SpliceFit SpliceFitGPD SpliceFitHill SpliceFiticPareto SpliceFitPareto SpliceLL SpliceLL_TB SplicePP SplicePP_TB SpliceQQ SpliceQQ_TB SpliceTB stdf stdf2 trDT trDTMLE trEndpoint trEndpointMLE trHill trMLE trParetoQQ trProb trProbMLE trQuant trQuantMLE trQuantW trTest trTestMLE TSfraction Turnbull VaR WeibullQQ WeibullQQ_der Weissman.p Weissman.q Weissman.q.2oQV Weissman.r

Dependencies:codetools doParallel foreach iterators lattice Matrix Rcpp survival

Using the ReIns package

Tom Reynkens

Rendered fromReIns.Rmdusingknitr::rmarkdownon Aug 22 2024.

Last update: 2017-06-10
Started: 2015-08-20

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
The Burr distribution	dburr pburr qburr rburr
EPD estimator for right censored data	cEPD
Exponential quantile plot for right censored data	cExpQQ
Generalised Hill estimator for right censored data	cgenHill
GPD-ML estimator for right censored data	cGPDmle cPOT
Hill estimator for right censored data	cHill
Log-normal quantile plot for right censored data	cLognormalQQ
MOM estimator for right censored data	cMoment
Pareto quantile plot for right censored data	cParetoQQ
Estimator of small exceedance probabilities and large return periods using censored Hill	cProb cReturn
Estimator of small exceedance probabilities and large return periods using censored EPD	cProbEPD cReturnEPD
Estimator of small exceedance probabilities and large return periods using censored generalised Hill	cProbGH cReturnGH
Estimator of small exceedance probabilities and large return periods using censored GPD-MLE	cProbGPD cReturnGPD
Estimator of small exceedance probabilities and large return periods using censored MOM	cProbMOM cReturnMOM
Estimator of large quantiles using censored Hill	cQuant
Estimator of large quantiles using censored Hill	cQuantGH
Estimator of large quantiles using censored GPD-MLE	cQuantGPD
Estimator of large quantiles using censored MOM	cQuantMOM
Hill-type estimator for the conditional EVI	crHill
Conditional Pareto quantile plot for right censored data	crParetoQQ
Non-parametric estimator of conditional survival function	crSurv
Conditional Tail Expectation	CTE ES
Weibull quantile plot for right censored data	cWeibullQQ
EPD estimator	EPD
Fit EPD using MLE	EPDfit
EVT fit	EVTfit
Estimates for excess-loss premiums using EPD estimates	ExcessEPD
Estimates for excess-loss premiums using GPD-MLE estimates	ExcessGPD
Estimates for excess-loss premiums using a Pareto model	ExcessHill ExcessPareto
Estimates for excess-loss premiums using splicing	ExcessSplice
Exponential quantile plot	ExpQQ
The Extended Pareto Distribution	depd pepd qepd repd
The Frechet distribution	dfrechet pfrechet qfrechet rfrechet
Generalised Hill estimator	genHill
Generalised quantile plot	generalizedQQ genQQ
The generalised Pareto distribution	dgpd pgpd qgpd rgpd
Fit GPD using MLE	GPDfit
GPD-ML estimator	GPDmle POT
GPD residual plot	GPDresiduals
Hill estimator	Hill
Bias-reduced MLE (Quantile view)	Hill.2oQV
Select optimal threshold for Hill estimator	Hill.kopt
Hill estimator for interval censored data	icHill
Pareto quantile plot for interval censored data	icParetoQQ
Kaplan-Meier estimator	KaplanMeier
Log-normal quantile plot	LognormalQQ
Derivative plot of the log-normal QQ-plot	LognormalQQ_der
Least Squares tail estimator	LStail TSfraction
Mean excess function	MeanExcess
Mean excess function using Turnbull estimator	MeanExcess_TB
Mixed Erlang fit	MEfit
Moment estimator	Moment
Norwegian fire insurance data	norwegianfire
The Pareto distribution	dpareto ppareto qpareto rpareto
Pareto quantile plot	ParetoQQ
Derivative plot of the Pareto QQ-plot	ParetoQQ_der
Classical estimators for the CDF	pClas
Edgeworth approximation	pEdge
Gram-Charlier approximation	pGC
Weissman estimator of small exceedance probabilities and large return periods	Prob Return Weissman.p Weissman.r
Estimator of small exceedance probabilities and large return periods using EPD	ProbEPD ReturnEPD
Estimator of small exceedance probabilities and large return periods using generalised Hill	ProbGH ReturnGH
Estimator of small exceedance probabilities and large return periods using GPD-MLE	ProbGPD ReturnGPD
Estimator of small exceedance probabilities and large return periods using MOM	ProbMOM ReturnMOM
Estimator of small tail probability in regression	ProbReg
Weissman estimator of extreme quantiles	Quant Weissman.q
Second order refined Weissman estimator of extreme quantiles (QV)	Quant.2oQV Weissman.q.2oQV
Estimator of extreme quantiles using generalised Hill	QuantGH
Estimator of extreme quantiles using GPD-MLE	QuantGPD
Estimator of extreme quantiles using MOM	QuantMOM
Estimator of extreme quantiles in regression	QuantReg
Scale estimator	Scale
Bias-reduced scale estimator using second order Hill estimator	Scale.2o
Bias-reduced scale estimator using EPD estimator	ScaleEPD
Scale estimator in regression	ScaleReg
Secura dataset	secura
SOA Group Medical Insurance Large Claims Database	soa
Spliced distribution	dSplice pSplice qSplice rSplice
Plot of fitted and empirical survival function	SpliceECDF
Splicing fit	SpliceFit
Splicing of mixed Erlang and GPD using POT-MLE	SpliceFitGPD
Splicing of mixed Erlang and Pareto for interval censored data	SpliceFiticPareto
Splicing of mixed Erlang and Pareto	SpliceFitHill SpliceFitPareto
LL-plot with fitted and empirical survival function	SpliceLL
LL-plot with fitted and Turnbull survival function	SpliceLL_TB
PP-plot with fitted and empirical survival function	SplicePP
PP-plot with fitted and Turnbull survival function	SplicePP_TB
Splicing quantile plot	SpliceQQ
Splicing quantile plot using Turnbull estimator	SpliceQQ_TB
Plot of fitted and Turnbull survival function	SpliceTB
Non-parametric estimators of the STDF	stdf stdf2
The truncated Burr distribution	dtburr ptburr qtburr rtburr
The truncated exponential distribution	dtexp ptexp qtexp rtexp
The truncated Frechet distribution	dtfrechet ptfrechet qtfrechet rtfrechet
The truncated generalised Pareto distribution	dtgpd ptgpd qtgpd rtgpd
The truncated log-normal distribution	dtlnorm ptlnorm qtlnorm rtlnorm
The truncated Pareto distribution	dtpareto ptpareto qtpareto rtpareto
Truncation odds	trDT
Truncation odds	trDTMLE
Estimator of endpoint	trEndpoint
Estimator of endpoint	trEndpointMLE
Hill estimator for upper truncated data	trHill
MLE estimator for upper truncated data	trMLE
Truncated Pareto quantile plot	trParetoQQ
Estimator of small exceedance probabilities using truncated Hill	trProb
Estimator of small exceedance probabilities using truncated MLE	trProbMLE
Estimator of large quantiles using truncated Hill	trQuant trQuantW
Estimator of large quantiles using truncated MLE	trQuantMLE
Test for truncated Pareto-type tails	trTest
Test for truncated GPD tails	trTestMLE
Turnbull estimator	Turnbull
The truncated Weibull distribution	dtweibull ptweibull qtweibull rtweibull
VaR of splicing fit	VaR
Weibull quantile plot	WeibullQQ
Derivative plot of the Weibull QQ-plot	WeibullQQ_der