CRAN

tailloss 1.0

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

Released Jul 8, 2015 by Isabella Gollini

Dependencies

MASS 7.3-50

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.

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>tailloss</artifactId>
    <version>1.0-b34</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

View build log

Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:tailloss')

Test Results

This package was last tested against Renjin 0.9.2644 on Jun 1, 2018.

• ELT-examples
• compressELT-examples
• fCantelli-examples
• fChernoff-examples
• fMarkov-examples
• fMoment-examples
• fMonteCarlo-examples
• fPanjer-examples
• summary.ELT-examples
• tailloss-package-examples
• zoombox-examples

Source

View GitHub Mirror

Release History

• 1.0