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
Package: mbbefd 0.8.15
Christophe Dutang
mbbefd: Maxwell Boltzmann Bose Einstein Fermi Dirac Distribution and Destruction Rate Modelling
Distributions that are typically used for exposure rating in general insurance, in particular to price reinsurance contracts. The vignette shows code snippets to fit the distribution to empirical data. See, e.g., Bernegger (1997) <doi:10.2143/AST.27.1.563208> freely available on-line.
Authors:
mbbefd_0.8.15.tar.gz
mbbefd_0.8.15.zip(r-4.7)mbbefd_0.8.15.zip(r-4.6)mbbefd_0.8.15.zip(r-4.5)
mbbefd_0.8.15.tgz(r-4.6-x86_64)mbbefd_0.8.15.tgz(r-4.6-arm64)mbbefd_0.8.15.tgz(r-4.5-x86_64)mbbefd_0.8.15.tgz(r-4.5-arm64)
mbbefd_0.8.15.tar.gz(r-4.7-arm64)mbbefd_0.8.15.tar.gz(r-4.7-x86_64)mbbefd_0.8.15.tar.gz(r-4.6-arm64)mbbefd_0.8.15.tar.gz(r-4.6-x86_64)
mbbefd_0.8.15.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
mbbefd/json (API)
| # Install 'mbbefd' in R: |
| install.packages('mbbefd', repos = c('https://spedygiorgio.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/spedygiorgio/mbbefd/issues
Datasets:
- asiacomrisk - Large commercial risks in Asia-Pacific
- beaonre - AON Re Belgian dataset
- itagradescore - Italian grade scores
- lossalaefull - General Liability Claims
actuarialdestruction-rate-modelingreinsurancecpp
Last updated from:2cf230f8b0. Checks:13 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 237 | ||
| linux-devel-x86_64 | OK | 234 | ||
| source / vignettes | OK | 203 | ||
| linux-release-arm64 | OK | 243 | ||
| linux-release-x86_64 | OK | 237 | ||
| macos-release-arm64 | OK | 212 | ||
| macos-release-x86_64 | OK | 368 | ||
| macos-oldrel-arm64 | OK | 167 | ||
| macos-oldrel-x86_64 | OK | 413 | ||
| windows-devel | OK | 356 | ||
| windows-release | OK | 358 | ||
| windows-oldrel | OK | 283 | ||
| wasm-release | OK | 114 |
Exports:bootDRdgbetadgbeta1dmbbefddMBBEFDdmbbefd1dMBBEFD1dmbbefd2dMBBEFD2doibetadoifundoigbetadoistparetodoiunifdstparetoecbetaeccompecgbetaecmbbefdecMBBEFDecoibetaecoifunecoigbetaecoistparetoecoiunifecstparetoecunifeecfetlfitDRg2amgbetammbbefdmMBBEFDmoibetamoifunmoigbetamoistparetomoiunifmstparetopgbetapmbbefdpMBBEFDpoibetapoifunpoigbetapoistparetopoiunifpstparetoqgbetaqmbbefdqMBBEFDqoibetaqoifunqoigbetaqoistparetoqoiunifqstparetorgbetarmbbefdrMBBEFDroibetaroifunroigbetaroistparetoroiunifrstparetoswissRetlmbbefdtlMBBEFDtloibetatloifuntloigbetatloistparetotloiunif
Dependencies:actuaralabamaexpintfitdistrpluslatticeMASSMatrixnumDerivRcpprlangsurvival
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Maxwell Boltzmann Bose Einstein Fermi Dirac Distribution and Destruction Rate Modelling | mbbefd-package |
| Large commercial risks in Asia-Pacific | asiacomrisk |
| AON Re Belgian dataset | beaonre |
| Bootstrap simulation of destruction rate models | bootDR |
| Empirical Exposure Curve Function | eecf lines.eecf plot.eecf print.eecf summary.eecf |
| Empirical total loss | etl |
| Exposure curves for the beta and the uniform distributions. | ecbeta ecunif exposureCurve |
| Fit of destruction rate models | fitDR |
| Get a parameter known g and b | g2a |
| The generalized Beta of the first kind Distribution | dgbeta dgbeta1 ecgbeta gbeta mgbeta pgbeta qgbeta rgbeta |
| Graphical comparison of multiple fitted distributions | eccomp graph-eccomp |
| Italian grade scores | itagradescore |
| General Liability Claims | lossalaefull |
| The MBBEFD distribution (two parametrizations) | dMBBEFD dmbbefd dMBBEFD1 dmbbefd1 dMBBEFD2 dmbbefd2 ecMBBEFD ecmbbefd MBBEFD mbbefd mbbefd-distr mMBBEFD mmbbefd pMBBEFD pmbbefd qMBBEFD qmbbefd rMBBEFD rmbbefd tlMBBEFD tlmbbefd |
| One-inflated beta distribution | doibeta ecoibeta moibeta oibeta poibeta qoibeta roibeta tloibeta |
| One-inflated distributions | doifun ecoifun moifun oidistribution poifun qoifun roifun tloifun |
| One-inflated generalized beta of the first kind (GB1)) distribution | doigbeta ecoigbeta moigbeta oigbeta poigbeta qoigbeta roigbeta tloigbeta |
| One-inflated shifted truncated pareto distribution | doistpareto ecoistpareto moistpareto oistpareto poistpareto qoistpareto roistpareto tloistpareto |
| One-inflated uniform distribution | doiunif ecoiunif moiunif oiunif poiunif qoiunif roiunif tloiunif |
| The shifted truncated Pareto distribution | dstpareto ecstpareto mstpareto pstpareto qstpareto rstpareto stpareto |
| Swiss Re exposure curve generation function | swissRe |
