Actuarial Functions and Heavy Tailed Distributions

Functions and data sets for actuarial science: modeling of loss distributions; risk theory and ruin theory; simulation of compound models, discrete mixtures and compound hierarchical models; credibility theory. Support for many additional probability distributions to model insurance loss size and frequency: 23 continuous heavy tailed distributions; the Poisson-inverse Gaussian discrete distribution; zero-truncated and zero-modified extensions of the standard discrete distributions. Support for phase-type distributions commonly used to compute ruin probabilities.


Reference manual

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3.2-0 by Vincent Goulet, 14 days ago

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Authors: Vincent Goulet [cre, aut] , S├ębastien Auclair [ctb] , Christophe Dutang [aut] , Walter Garcia-Fontes [ctb] , Nicholas Langevin [ctb] , Xavier Milhaud [ctb] , Tommy Ouellet [ctb] , Alexandre Parent [ctb] , Mathieu Pigeon [aut] , Louis-Philippe Pouliot [ctb] , Jeffrey A. Ryan [aut] (Package API) , Robert Gentleman [aut] (Parts of the R to C interface) , Ross Ihaka [aut] (Parts of the R to C interface) , R Core Team [aut] (Parts of the R to C interface) , R Foundation [aut] (Parts of the R to C interface)

Documentation:   PDF Manual  

Task views: Probability Distributions, Empirical Finance

GPL (>= 2) license

Imports stats, graphics, expint

Suggests MASS

Linking to expint

Imported by AnnuityRIR, BTSPAS, ChainLadder, CompDist, GenHMM1d, OpVaR, RobExtremes, episensr, fitur, kendallRandomWalks, mbbefd, orders, proteus, robmixglm, ssdtools, teachingApps, univariateML.

Depended on by GofCens, lbiassurv, stratifyR.

Suggested by GeneralizedHyperbolic, HyperbolicDist, OneStep, PredictionR, SPLICE, SynthETIC, distr6, distributional, extraDistr, fitdistrplus, fitteR, flexmix, raw, ruin.

See at CRAN