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Exposure rating, destruction rate models and the mbbefd package5 months ago
Introduction and general notation | Loss Distribution | Expected Loss | Limited Expected Loss | Loss Cost of a Layer | Increased Limit Factor | Exposure curves | Normalising loss experience using TIV and MPL | Analysing deductibles | Destruction rate models | Classic distributions | Uniform distribution | Beta distribution | One-inflated distributions | Characterizations | The one-inflated beta distribution | The MBBEFD distribution, first parametrization | Characterization by the exposure curve | Distribution, density and quantile functions | Moments | The MBBEFD distribution, second parametrization | Parameter domain | Fitting methods and pricing examples | Fitting methods: MLE and TLMME | Examples | Computation of premium rate (example) | Losses below deductible | Losses above deductible, but below limit | Losses above limit | Premium Rate | References
The markovchain Package: A Package for Easily Handling Discrete Markov Chains in R2 years ago
Introduction | Review of core mathematical concepts | General Definitions | Properties and classification of states | A short example | The structure of the package | Creating markovchain objects | Handling markovchain objects | Probability with markovchain objects | Conditional distributions | Stationary states | Classification of states | First passage time distributions and means | Mean recurrence time | Absorption probabilities and mean absorption time | Committor probability | Hitting probabilities | Statistical analysis | Simulation | Estimation | Prediction | Predicting from a markovchain object | Predicting from a markovchainList object | Statistical Tests | Assessing the Markov property of a Markov chain sequence | Assessing the order of a Markov chain sequence | Assessing the stationarity of a Markov chain sequence | Divergence tests for empirically estimated transition matrices | Continuous Times Markov Chains | Intro | Stationary Distributions | Expected Hitting Time | Probability at time t | Examples | Pseudo - Bayesian Estimation | Bayesian Estimation | Notation and set-up | Methods | Predictive distribution | Choosing the hyper-parameters | Usage and examples | Applications | Weather forecasting | Land of Oz | Alofi Island Rainfall | Finance and Economics | Finance | Economics | Actuarial science | MPTL Bonus Malus | Health insurance example | Sociology | Genetics and Medicine | Genetics | Medicine | Discussion, issues and future plans | Acknowledgments | References
Higher order Markov chains2 years ago
Higher Order Markov Chains | Higher Order Multivariate Markov Chains | Introduction | Representation of parameters in the code | Definition of HOMMC class | How to create an object of class HOMMC | Fit HOMMC | A Marketing Example | References
Google Summer of Code 2017 Additions2 years ago
Expected Hitting Time using CTMC | Calculating Probability at time T using ctmc | Plotting generator matrix of continuous-time markovchains | Imprecise Continuous-Time Markov chains | Types of ICTMCs | Lower Transition Rate Operators for ICTMCs | Lower Transition Operators | ImpreciseprobabilityatT function | Continuous time markovchain generator using frequency Matrix | Committor of a markovchain | First Passage probability for set of states | Joint PDF of number of visits to the various states of a markovchain | Expected Rewards for a markovchain | Expected Rewards for a set of states in a markovchain process | Checking Irreducibly of a CTMC | Simulation of Higher Order Multivariate Markovchains | Check Time Reversibility of Continuous-time markovchains | References