Functions for computing the value-at-risk in compound Poisson models. The implementation comprises functions for modeling loss frequencies and loss severities with plain, mixed (Frigessi et al. (2012) <doi:10.1023/A:1024072610684>) or spliced distributions using Maximum Likelihood estimation and Bayesian approaches (Ergashev et al. (2013) <doi:10.21314/JOP.2013.131>). In particular, the parametrization of tail distributions includes the fitting of Tukey-type distributions (Kuo and Headrick (2014) <doi:10.1155/2014/645823>). Furthermore, the package contains the modeling of bivariate dependencies between loss severities and frequencies, Monte Carlo simulation for total loss estimation as well as a closed-form approximation based on Degen (2010) <doi:10.21314/JOP.2010.084> to determine the value-at-risk.
| Version: | 1.1.1 |
| Imports: | VineCopula, tea, actuar, truncnorm, ReIns, MASS, pracma, evmix |
| Suggests: | knitr, rmarkdown |
| Published: | 2020-07-02 |
| Author: | Christina Zou [aut,cre], Marius Pfeuffer [aut], Matthias Fischer [aut], Kristina Dehler [ctb], Nicole Derfuss [ctb], Benedikt Graswald [ctb], Linda Moestel [ctb], Jixuan Wang [ctb], Leonie Wicht [ctb] |
| Maintainer: | Christina Zou <christina.zou at maths.ox.ac.uk> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| CRAN checks: | OpVaR results |
| Reference manual: | OpVaR.pdf |
| Vignettes: |
OpVaR: Modeling Operational (Value-At-)Risk in R |
| Package source: | OpVaR_1.1.1.tar.gz |
| Windows binaries: | r-devel: OpVaR_1.1.1.zip, r-release: OpVaR_1.1.1.zip, r-oldrel: OpVaR_1.1.1.zip |
| macOS binaries: | r-release: OpVaR_1.1.1.tgz, r-oldrel: OpVaR_1.1.1.tgz |
| Old sources: | OpVaR archive |
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