费勒-帕累托及相关分布:数值实现和精算应用

IF 5.4 2区计算机科学 Q1 COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS

Journal of Statistical Software Pub Date : 2022-01-01 DOI:10.18637/jss.v103.i06

Christophe Dutang, Vincent Goulet, Nicholas Langevin

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引用次数: 2

摘要

精算师使用重尾概率分布对保险索赔金额进行建模。他们通常需要评估与这些分布相关的数量，比如最右尾部的分位数、矩或有限矩。此外，精算师经常求助于模拟来解决否则难以处理的风险评估问题。本文讨论了我们对R包精算器的Feller-Pareto分布的支持函数的实现。费勒-帕累托定义了一个大的重尾分布族，其中包括转化的β族和帕累托分布的许多变体。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Feller-Pareto and Related Distributions: Numerical Implementation and Actuarial Applications

Actuaries model insurance claim amounts using heavy tailed probability distributions. They routinely need to evaluate quantities related to these distributions such as quantiles in the far right tail, moments or limited moments. Furthermore, actuaries often resort to simulation to solve otherwise untractable risk evaluation problems. The paper discusses our implementation of support functions for the Feller-Pareto distribution for the R package actuar . The Feller-Pareto defines a large family of heavy tailed distributions encompassing the transformed beta family and many variants of the Pareto distribution.

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来源期刊

Journal of Statistical Software 工程技术-计算机：跨学科应用

CiteScore

10.70

自引率

1.70%

发文量

审稿时长

6-12 weeks

期刊介绍： The Journal of Statistical Software (JSS) publishes open-source software and corresponding reproducible articles discussing all aspects of the design, implementation, documentation, application, evaluation, comparison, maintainance and distribution of software dedicated to improvement of state-of-the-art in statistical computing in all areas of empirical research. Open-source code and articles are jointly reviewed and published in this journal and should be accessible to a broad community of practitioners, teachers, and researchers in the field of statistics.