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 amounts and loss frequency: 19 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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2.3-1 by Vincent Goulet, 3 days ago

Browse source code at

Authors: Vincent Goulet [cre, aut], S├ębastien Auclair [ctb], Christophe Dutang [aut], Xavier Milhaud [ctb], Tommy Ouellet [ctb], Alexandre Parent [ctb], Mathieu Pigeon [aut], Louis-Philippe Pouliot [ctb]

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, OpVaR, ReliabilityTheory, episensr, fitur, mbbefd, teachingApps.

Depended on by lbiassurv, mombf.

Suggested by GeneralizedHyperbolic, HyperbolicDist, PhaseType, fitdistrplus, fitteR, flexmix, raw.

See at CRAN