The Pareto, Piecewise Pareto and Generalized Pareto Distribution

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) .


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install.packages("Pareto")

2.2.1 by Ulrich Riegel, a month ago


https://github.com/ulrichriegel/Pareto#pareto


Browse source code at https://github.com/cran/Pareto


Authors: Ulrich Riegel [aut, cre]


Documentation:   PDF Manual  


GPL (>= 2) license


Suggests testthat, knitr, rmarkdown, lpSolve


See at CRAN