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Evaluate 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.
tailloss contains functions to estimate the exceedance
probability curve of the aggregated losses. There are two ‘exact’
approaches: Panjer recursion and Monte Carlo simulations, and four
approaches producing upper bounds: the Markov bound, the Cantelli bound,
the Moment bound, and the Chernoff bound. The upper bounds are useful
and effective when the number of events in the catalogue is large, and
there is interest in estimating the exceedance probabilities of
exceptionally high losses.
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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