Analysis of Extremes

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Documentation for package ‘AoE’ version 1.0.1

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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