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) .


Reference manual

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2.4.2 by Ulrich Riegel, 9 months ago

Browse source code at

Authors: Ulrich Riegel [aut, cre]

Documentation:   PDF Manual  

GPL (>= 2) license

Suggests testthat, knitr, rmarkdown, lpSolve

See at CRAN