AoE-package |
Analysis of Extremes |
ABN |
Log-returns ING and ABN AMRO |
ALAE |
Liability Claims and Allocated Loss Adjustment Expenses |
AngularMeasure |
Angular Measure |
AoE |
Analysis of Extremes |
Burr.empirical |
Tail Quantile Estimation for the Burr Distribution |
Burr.Weissman |
Tail Quantile Estimation for the Burr Distribution |
ChooseK |
Automated Threshold Selection for Univariate Tail Estimation |
EconomicCapital |
Risk Measure Estimators |
ETDF |
Empirical Tail Dependence Function |
ExcessLoss |
Risk Measure Estimators |
Expectation |
Risk Measure Estimators |
ExpectedShortfall |
Risk Measure Estimators |
ExtremalIndex |
Intervals Estimator for the Extremal Index |
fitGPD |
Maximum likelihood estimation of the parameters of the (generalized) Pareto distribution |
fitPareto |
Maximum likelihood estimation of the parameters of the (generalized) Pareto distribution |
GPD_par |
Estimate GPD Parameters |
Hill |
Estimators for the extreme-value index |
Hill.diagnostic |
Diagnostic Plot for the Hill Estimator |
ING |
Log-returns ING and ABN AMRO |
Loss |
Liability Claims and Allocated Loss Adjustment Expenses |
MEplot |
Mean-Excess Plot |
ML |
Estimators for the extreme-value index |
Moment |
Estimators for the extreme-value index |
norwegian |
Norwegian Fire Insurance Data |
PHtransform |
Risk Measure Estimators |
PickandsDF |
Pickands Dependence Function |
rbivcauchy |
Random Number Generation for the Bivariate Cauchy Distribution |
rbivnorm |
Random Number Generation for the Bivariate Normal Distribution |
rburr |
Random number generation of the Burr distribution |
RiskMeasure |
Risk Measure |
soa |
SOA Group Medical Insurance Large Claims Database |
TailProb_sum |
Tail Probability Estimation for a Sum of Random Variables |
TailQuantile |
Risk Measure Estimators |
TailQuantile_sum |
Tail Quantile Estimation for a Sum of Random Variables |
top40 |
The 40 Most Costly Insurance Losses |
UvT_Cat |
Random Number Generation from a Heavy-Tailed Distribution |
Variance |
Risk Measure Estimators |
Weissman.q |
Weissman Quantile Estimator |