Feller-Pareto and Related Distributions: Numerical Implementation and Actuarial Applications
Dublin Core
Title
Feller-Pareto and Related Distributions: Numerical Implementation and Actuarial Applications
Subject
Feller-Pareto, distribution, transformed beta, beta of the second kind, actuar, R.
Description
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.
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.
Creator
Christophe Dutang
Source
https://www.jstatsoft.org/article/view/v103i06
Publisher
Université Paris-Dauphine
Date
July 2022
Contributor
Fajar bagus W
Format
PDF
Language
English
Type
Text
Files
Collection
Citation
Christophe Dutang, “Feller-Pareto and Related Distributions: Numerical Implementation and Actuarial Applications,” Repository Horizon University Indonesia, accessed April 4, 2025, https://repository.horizon.ac.id/items/show/8262.