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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.
| Version: | 1.0 |
| Depends: | R (≥ 3.0.2), MASS, graphics, stats |
| Published: | 2015-07-08 |
| Author: | Isabella Gollini [aut, cre], Jonathan Rougier [ctb] |
| Maintainer: | Isabella Gollini <igollini.stats at gmail.com> |
| License: | GPL-2 | GPL-3 |
| URL: | http://github.com/igollini/tailloss |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | tailloss results |
| Reference manual: | tailloss.pdf |
| Package source: | tailloss_1.0.tar.gz |
| Windows binaries: | r-devel: tailloss_1.0.zip, r-release: tailloss_1.0.zip, r-oldrel: tailloss_1.0.zip |
| macOS binaries: | r-release (arm64): tailloss_1.0.tgz, r-oldrel (arm64): tailloss_1.0.tgz, r-release (x86_64): tailloss_1.0.tgz, r-oldrel (x86_64): tailloss_1.0.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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