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tailloss: Estimate the Probability in the Upper Tail of the Aggregate Loss Distribution

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
DOI: 10.32614/CRAN.package.tailloss
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

Documentation:

Reference manual: tailloss.pdf

Downloads:

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

Linking:

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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.