文章基本信息

标题：Feller-Pareto and Related Distributions: Numerical Implementation and Actuarial Applications
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作者：Christophe Dutang ; Vincent Goulet ; Nicholas Langevin 等
期刊名称：Journal of Statistical Software
印刷版ISSN：1548-7660
电子版ISSN：1548-7660
出版年度：2022
卷号：103
页码：1-22
DOI：10.18637/jss.v103.i06
语种：English
出版社：University of California, Los Angeles
摘要：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.