Pareto is an R package providing methods and tools for the Pareto and the piecewise Pareto distribution which are useful for pricing of reinsurance treaties:
- Distribution functions, densities and quantile functions
- Layer mean and variance
- Simulation of Pareto and piecewise Pareto distributions
- Pareto extrapolation
- Finding the Pareto alpha between the expected losses of two layers
- Finding the Pareto alpha between an excess frequency and the expected loss of a layer
- Maximum likelihood estimation of the Pareto alpha
- Calculation of local Pareto alphas for normal, lognormal and gamma distributions
- Fitting a Piecewise Pareto distribution to a tower of layer losses (for an arbitrary number of layers)
The methods are also available for truncated versions of the (piecewise) Pareto distribution.
To install the current development version from github you need the devtools package and the other packages on which Pareto depends and links to:
To install Pareto run:
library(devtools) install_github("ulrichriegel/Pareto", build_vignettes = TRUE)
This package is free and open source software, licensed under GPL.