https://github.com/TReynkens/ReIns

Functions from the book "Reinsurance: Actuarial and Statistical Aspects"
https://github.com/TReynkens/ReIns

extremes reinsurance risk-analysis

Last synced: 3 months ago
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Functions from the book "Reinsurance: Actuarial and Statistical Aspects"

• Host: GitHub
• URL: https://github.com/TReynkens/ReIns
• Owner: TReynkens
• Created: 2015-07-27T12:46:32.000Z (over 9 years ago)
• Default Branch: master
• Last Pushed: 2023-11-03T08:23:57.000Z (about 1 year ago)
• Last Synced: 2024-07-30T15:02:42.577Z (3 months ago)
• Topics: extremes, reinsurance, risk-analysis
• Language: R
• Homepage: http://www.wiley.com/WileyCDA/WileyTitle/productCd-0470772689.html
• Size: 1.06 MB
• Stars: 21
• Watchers: 4
• Forks: 17
• Open Issues: 0
• Metadata Files:
  • Readme: README.Rmd

Awesome Lists containing this project

• jimsghstars - TReynkens/ReIns - Functions from the book "Reinsurance: Actuarial and Statistical Aspects" (R)

README

        
---

output:

  md_document:

    variant: gfm

---

```{r, echo = FALSE}

knitr::opts_chunk$set(

  collapse = TRUE,

  comment = "#>",

  fig.path = "README-"

)

```

# ReIns

[![CRAN_Status_Badge](https://www.r-pkg.org/badges/version/ReIns)](https://cran.r-project.org/package=ReIns)

The *ReIns* package contains functions from the book "Reinsurance: Actuarial and Statistical Aspects" (Wiley, 2017) by Hansjörg Albrecher, Jan Beirlant and Jef Teugels.

It contains implementations of

* Basic extreme value theory (EVT) estimators and graphical methods as described in "Statistics of Extremes: Theory and Applications" (2004) of Jan Beirlant, Yuri Goegebeur, Johan Segers and Jef Teugels.

* EVT estimators and graphical methods adapted for censored and/or truncated data.

* Splicing of mixed Erlang (ME) distribution with EVT distributions (Pareto, GPD).

* Value-at-Risk (VaR), Conditional Tail Expectation (CTE) and excess-loss premium estimates.

You can install the latest development version of *ReIns* from GitHub. If you work on Windows, make sure first that [Rtools](https://cran.r-project.org/bin/windows/Rtools/) is installed. Then, install the latest development version of *ReIns* using

```

install.packages("remotes")

remotes::install_github("TReynkens/ReIns")

```