Changes in version 2.4.3 - Minor bug corrected in PiecewisePareto_ML_Estimator_Alpha Changes in version 2.4.2 (2021-03-03) - Added functionality for Pareto and GenPareto in Fit_References Changes in version 2.4.0 (2021-02-18) - Improved functionality for maximum likelihood estimation - Possibility to use reporting thresholds - Allow to consider censored data - Improved performance - Added distributions in function Local_Pareto_Alpha: - Pareto distribution - Generalized Pareto distribution - Piecewise Pareto distribution - Improved handling of inputs of length zero in vectorized functions Changes in version 2.3.0 (2021-02-07) - Vectorization of the following functions: - Pareto_Layer_Mean - Pareto_Layer_Var - Pareto_Layer_SM - Pareto_Extrapolation - Pareto_Find_Alpha_btw_Layers - Pareto_Find_Alpha_btw_FQ_Layer - Pareto_Find_Alpha_btw_FQs - PiecewisePareto_Layer_Mean (only parameters Cover and AttachmentPoint) - PiecewisePareto_Layer_SM (only parameters Cover and AttachmentPoint) - PiecewisePareto_Layer_Var (only parameters Cover and AttachmentPoint) - pPareto - dPareto - qPareto - pGenPareto - dGenPareto - qGenPareto - GenPareto_Layer_Mean - GenPareto_Layer_Var - GenPareto_Layer_SM Changes in version 2.2.2 (2021-01-27) - Added function Fit_PML_Curve which fits a PPP_Model to a PML curve.. Changes in version 2.2.1 (2020-09-11) - Added the option to use weights in Pareto_ML_Estimator_Alpha, PiecewisePareto_ML_Estimator_Alpha and GenPareto_ML_Estimator_Alpha. Changes in version 2.2.0 (2020-08-03) - Added function Fit_References for the piecewise Pareto distribution. This function fits a PPP model to the expected losses of given reference layers and excess frequencies - It is now possible to have layers with an expected loss of zero in PiecewisePareto_Match_Layer_Losses - Improved handling of Frequencies and TotalLoss_Frequencies in PiecewisePareto_Match_Layer_Losses Changes in version 2.1.0 (2020-07-09) - Added functions for the generalized Pareto distribution - Added the class PGP_Model. PGP stands for Panjer & Generalized Pareto. A PGP_Model object contains the information to specify a collective model with a Panjer distributed claim count and a generalized Pareto distributed severity - The following functions have been replaced by generics for PPP_Models and PGP_Models: - PPP_Model_Exp_Layer_Loss has been replaced by Layer_Mean - PPP_Model_Layer_Var has been replaced by Layer_Var - PPP_Model_Layer_Sd has been replaced by Layer_Sd - PPP_Model_Excess_Frequency has been replaced by Excess_Frequency - PPP_Model_Simulate has been replaced by Simulate_Losses Changes in version 2.0.0 (2020-05-02) - PiecewisePareto_Match_Layer_Losses now returns a PPP_Model object. PPP stands for Panjer & Piecewise Pareto. The Panjer class contains the Poisson, the Negative Binomial and the Binomial distribution. A PPP_Model object contains the information required to specify a collective model with a Panjer distributed claim count and a Piecewise Pareto distributed severity. - The package provides additional functions for PPP_Model objects: - PPP_Model_Exp_Layer_Loss: Calculates the expected loss of a reinsurance layer for a PPP_Model - PPP_Model_Layer_Var: Calculates the variance of the loss in a reinsurance layer for a PPP_Model - PPP_Model_Layer_Sd: Calculates the standard deviation of the loss in a reinsurance layer for a PPP_Model - PPP_Model_Excess_Frequency: Calculates the expected frequency in excess of a threshold for a PPP_Model - PPP_Model_Simulate: Simulates losses of a PPP_Model Changes in version 1.1.5 (2020-04-03) - PiecewisePareto_Match_Layer_Losses now also works for only one layer - Improved error handling in PiecewisePareto_Match_Layer_Losses Changes in version 1.1.3 (2020-02-13) - Added maximum likelihood estimation of the alphas of a piecewise Pareto distribution. - Allow for a different reporting threshold for each loss in Pareto_ML_Estimator_Alpha and in rPareto. - Improved fitting algorithm in Pareto_ML_Estimator_Alpha. - Better error handling in in Pareto_Find_Alpha_btw_FQ_Layer. Changes in version 1.1.0 (2019-12-17) Stable version.