The ReIns package contains functions from the book “Reinsurance: Actuarial and Statistical Aspects” (Wiley, 2017) by Hansjörg Albrecher, Jan Beirlant and Jef Teugels. It contains implementations of
Basic extreme value theory (EVT) estimators and graphical methods as described in “Statistics of Extremes: Theory and Applications” (2004) of Jan Beirlant, Yuri Goegebeur, Johan Segers and Jef Teugels.
EVT estimators and graphical methods adapted for censored and/or truncated data.
Splicing of mixed Erlang (ME) distribution with EVT distributions (Pareto, GPD).
Value-at-Risk (VaR), Conditional Tail Expectation (CTE) and excess-loss premium estimates.
You can install the latest development version of ReIns from GitHub. If you work on Windows, make sure first that Rtools is installed. Then, install the latest development version of ReIns using