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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>.
| Version: | 2.4.5 |
| Depends: | R (≥ 2.10) |
| Suggests: | testthat, knitr, rmarkdown, lpSolve |
| Published: | 2023-04-18 |
| DOI: | 10.32614/CRAN.package.Pareto |
| Author: | Ulrich Riegel [aut, cre] |
| Maintainer: | Ulrich Riegel <ulrich.riegel at gmx.de> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://github.com/ulrichriegel/Pareto#pareto |
| NeedsCompilation: | no |
| Language: | en-US |
| Materials: | README NEWS |
| In views: | Distributions |
| CRAN checks: | Pareto results |
| Reference manual: | Pareto.pdf |
| Vignettes: |
Pareto Package Vignette |
| Package source: | Pareto_2.4.5.tar.gz |
| Windows binaries: | r-devel: Pareto_2.4.5.zip, r-release: Pareto_2.4.5.zip, r-oldrel: Pareto_2.4.5.zip |
| macOS binaries: | r-release (arm64): Pareto_2.4.5.tgz, r-oldrel (arm64): Pareto_2.4.5.tgz, r-release (x86_64): Pareto_2.4.5.tgz, r-oldrel (x86_64): Pareto_2.4.5.tgz |
| Old sources: | Pareto archive |
| Reverse imports: | NetSimR |
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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.