Christina Zou [aut,cre], Marius Pfeuffer [aut], Matthias Fischer [aut], Kristina Dehler [ctb], Nicole Derfuss [ctb], Benedikt Graswald [ctb], Linda Moestel [ctb], Jixuan Wang [ctb], Leonie Wicht [ctb]
Functions for modeling operational (value-at-)risk. The implementation comprises functions for modeling loss frequencies and loss severities with plain, mixed (Frigessi et al. (2012) <doi:10.1023/A:1024072610684>) or spliced distributions using Maximum Likelihood estimation and Bayesian approaches (Ergashev et al. (2013) <doi:10.21314/JOP.2013.131>). In particular, the parametrization of tail distributions includes fitting of Tukey-type distributions (Kuo and Headrick (2014) <doi:10.1155/2014/645823>). Furthermore, the package contains the modeling of bivariate dependencies between loss severities and frequencies, Monte Carlo simulation for total loss estimation as well as a closed-form approximation based on Degen (2010) <doi:10.21314/JOP.2010.084> to determine the value-at-risk.
evmix, VineCopula, tea, actuar, vcd, goftest, truncnorm,
ReIns, MASS

Statistical Methods for Modelling Operational Risk
Functions for computing the value-at-risk in compound Poisson models.
The implementation comprises functions for modeling loss frequencies and loss severities with plain, mixed (Frigessi et al. (2012) <doi:10.1023/A:1024072610684>) or spliced distributions using Maximum Likelihood estimation and Bayesian approaches (Ergashev et al. (2013) <doi:10.21314/JOP.2013.131>).
In particular, the parametrization of tail distributions includes the fitting of Tukey-type distributions (Kuo and Headrick (2014) <doi:10.1155/2014/645823>). Furthermore, the package contains the modeling of bivariate dependencies between loss severities and frequencies, Monte Carlo simulation for total loss estimation as well as a closed-form approximation based on Degen (2010) <doi:10.21314/JOP.2010.084> to determine the value-at-risk.
VineCopula, tea, actuar, truncnorm, ReIns, MASS, pracma, evmix

Christina Zou [aut,cre],
Marius Pfeuffer [aut],
Matthias Fischer [aut],
Nina Buoni [ctb], Kristina Dehler [ctb], Nicole Derfuss [ctb], Benedikt Graswald [ctb], Linda Moestel [ctb], Jixuan Wang [ctb], Leonie Wicht [ctb]