Package: Pareto 2.4.5

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>.

Authors:Ulrich Riegel [aut, cre]

Pareto_2.4.5.tar.gz
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Pareto_2.4.5.tgz(r-4.6-any)Pareto_2.4.5.tgz(r-4.5-any)
Pareto_2.4.5.tar.gz(r-4.7-any)Pareto_2.4.5.tar.gz(r-4.6-any)
Pareto_2.4.5.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
Pareto/json (API)

# Install 'Pareto' in R:

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

Bug tracker:https://github.com/ulrichriegel/pareto/issues

Datasets:

Example1_AP - Example data: Attachment Points
Example1_EL - Example data: Expected Losses

On CRAN:

7.37 score 11 stars 1 packages 229 scripts 1.6k downloads 4 mentions 52 exports 0 dependencies

Last updated from:4da101e028. Checks:9 OK. Indexed: yes.

Target	Result	Time
linux-devel-x86_64	OK	162
source / vignettes	OK	224
linux-release-x86_64	OK	155
macos-release-arm64	OK	142
macos-oldrel-arm64	OK	154
windows-devel	OK	86
windows-release	OK	88
windows-oldrel	OK	98
wasm-release	OK	96

Exports:dGenPareto dPareto dPiecewisePareto Excess_Frequency Fit_PML_Curve Fit_References GenPareto_Layer_Mean GenPareto_Layer_SM GenPareto_Layer_Var GenPareto_ML_Estimator_Alpha is.PGP_Model is.PPP_Model is.valid.PGP_Model is.valid.PPP_Model Layer_Mean Layer_Sd Layer_Var Local_Pareto_Alpha Pareto_CDF Pareto_Extrapolation Pareto_Find_Alpha_btw_FQ_Layer Pareto_Find_Alpha_btw_FQs Pareto_Find_Alpha_btw_Layers Pareto_Layer_Mean Pareto_Layer_SM Pareto_Layer_Var Pareto_ML_Estimator_Alpha Pareto_PDF pGenPareto PGP_Model PiecewisePareto_CDF PiecewisePareto_Layer_Mean PiecewisePareto_Layer_SM PiecewisePareto_Layer_Var PiecewisePareto_Match_Layer_Losses PiecewisePareto_ML_Estimator_Alpha PiecewisePareto_PDF pPareto pPiecewisePareto PPP_Model PPP_Model_Excess_Frequency PPP_Model_Exp_Layer_Loss PPP_Model_Layer_Sd PPP_Model_Layer_Var PPP_Model_Simulate qGenPareto qPareto qPiecewisePareto rGenPareto rPareto rPiecewisePareto Simulate_Losses

Dependencies:

Pareto Package Vignette

Rendered fromPareto.Rmdusingknitr::rmarkdown

Last update: 2021-02-18
Started: 2019-11-16

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Density of the generalized Pareto Distribution	dGenPareto
Density of the Pareto Distribution	dPareto
Density of the Piecewise Pareto Distribution	dPiecewisePareto
Example data: Attachment Points	Example1_AP
Example data: Expected Losses	Example1_EL
Expected Frequency in Excess of a Threshold	Excess_Frequency
Expected Frequency in Excess of a Threshold	Excess_Frequency.PGP_Model
Expected Frequency in Excess of a Threshold	Excess_Frequency.PPP_Model
Fits a Collective Model to a PML Curve	Fit_PML_Curve
Fit a Collective Model to a Wishlist of References	Fit_References
Layer Mean of the generalized Pareto Distribution	GenPareto_Layer_Mean
Second Layer Moment of the Generalized Pareto Distribution	GenPareto_Layer_SM
Layer Variance of the Generalized Pareto Distribution	GenPareto_Layer_Var
Maximum Likelihood Estimation of the Pareto Alphas of a Generalized Pareto Distribution	GenPareto_ML_Estimator_Alpha
Check if an object is a PGP_Model	is.PGP_Model
Check if an object is a PPP_Model	is.PPP_Model
Check if an object is a valid PGP_Model	is.valid.PGP_Model
Check if an object is a valid PPP_Model	is.valid.PPP_Model
Expected Loss of a Reinsurance Layer	Layer_Mean
Expected Loss of a Reinsurance Layer	Layer_Mean.PGP_Model
Expected Loss of a Reinsurance Layer	Layer_Mean.PPP_Model
Standard Deviation of a Reinsurance Layer	Layer_Sd
Standard Deviation of a Reinsurance Layer	Layer_Sd.PGP_Model
Standard Deviation of a Reinsurance Layer	Layer_Sd.PPP_Model
Variance of a Reinsurance Layer	Layer_Var
Variance of a Reinsurance Layer	Layer_Var.PGP_Model
Variance of a Reinsurance Layer	Layer_Var.PPP_Model
Local Pareto Alpha	Local_Pareto_Alpha
Distribution Function of the Pareto Distribution	Pareto_CDF
Pareto Extrapolation	Pareto_Extrapolation
Pareto Alpha Between a Frequency and a Layer	Pareto_Find_Alpha_btw_FQ_Layer
Pareto Alpha Between Two Frequencies	Pareto_Find_Alpha_btw_FQs
Pareto Alpha Between Two Layers	Pareto_Find_Alpha_btw_Layers
Layer Mean of the Pareto Distribution	Pareto_Layer_Mean
Second Layer Moment of the Pareto Distribution	Pareto_Layer_SM
Layer Variance of the Pareto Distribution	Pareto_Layer_Var
Maximum Likelihood Estimation of the Alpha of a Pareto distribution	Pareto_ML_Estimator_Alpha
Density of the Pareto Distribution	Pareto_PDF
Distribution Function of the generalized Pareto Distribution	pGenPareto
PGP_Model (Collective Panjer & Generalized Pareto Model) Object	PGP_Model
Distribution Function of the Piecewise Pareto Distribution	PiecewisePareto_CDF
Layer Mean of the Piecewise Pareto Distribution	PiecewisePareto_Layer_Mean
Second Layer Moment of the Piecewise Pareto Distribution	PiecewisePareto_Layer_SM
Layer Variance of the Piecewise Pareto Distribution	PiecewisePareto_Layer_Var
Match a Tower of Expected Layers Losses	PiecewisePareto_Match_Layer_Losses
Maximum Likelihood Estimation of the Alphas of the Piecewise Pareto Distribution	PiecewisePareto_ML_Estimator_Alpha
Density of the Piecewise Pareto Distribution	PiecewisePareto_PDF
Distribution Function of the Pareto Distribution	pPareto
Distribution Function of the Piecewise Pareto Distribution	pPiecewisePareto
PPP_Model (Collective Panjer & Piecewise Pareto Model) Object	PPP_Model
Expected Frequency in Excess of a Threshold	PPP_Model_Excess_Frequency
Expected Loss of a Reinsurance Layer	PPP_Model_Exp_Layer_Loss
Standard Deviation of a Reinsurance Layer	PPP_Model_Layer_Sd
Variance of a Reinsurance Layer	PPP_Model_Layer_Var
Simulate Losses with a PPP_Model	PPP_Model_Simulate
Print a PGP_Model Object (Collective Panjer & Generalized Pareto Model) Object	print.PGP_Model
Print a PPP_Model Object (Collective Panjer & Piecewise Pareto Model) Object	print.PPP_Model
Quantile Function of the generalized Pareto Distribution	qGenPareto
Quantile Function of the Pareto Distribution	qPareto
Quantile Function of the Piecewise Pareto Distribution	qPiecewisePareto
Simulation of the generalized Pareto Distribution	rGenPareto
Simulation of the Pareto Distribution	rPareto
Simulation of the Piecewise Pareto Distribution	rPiecewisePareto
Simulate Losses with a Collective Model	Simulate_Losses
Simulate Losses with a PGP_Model	Simulate_Losses.PGP_Model
Simulate Losses with a PPP_Model	Simulate_Losses.PPP_Model