Package ‘actuar’

May 31, 2021

Type Package
Title Actuarial Functions and Heavy Tailed Distributions
Version 3.1-4
Date 2021-05-30
Description Functions and data sets for actuarial science:
modeling of loss distributions; risk theory and ruin theory;
simulation of compound models, discrete mixtures and compound
hierarchical models; credibility theory. Support for many additional
probability distributions to model insurance loss size and
frequency: 23 continuous heavy tailed distributions; the
Poisson-inverse Gaussian discrete distribution; zero-truncated and
zero-modified extensions of the standard discrete distributions.
Support for phase-type distributions commonly used to compute ruin
probabilities.
Depends R (>= 4.1.0)
Imports stats, graphics, expint
LinkingTo expint
Suggests MASS
License GPL (>= 2)

URL https://gitlab.com/vigou3/actuar

BugReports https://gitlab.com/vigou3/actuar/-/issues
Encoding UTF-8
LazyData yes
Classification/MSC-2010 62P05, 91B30, 62G32
NeedsCompilation yes
Author Vincent Goulet [cre, aut],
Sébastien Auclair [ctb],
Christophe Dutang [aut],
Nicholas Langevin [ctb],
Xavier Milhaud [ctb],

1
2 R topics documented:

Tommy Ouellet [ctb],

Alexandre Parent [ctb],
Mathieu Pigeon [aut],
Louis-Philippe Pouliot [ctb],
Jeffrey A. Ryan [aut] (Package API),
Robert Gentleman [aut] (Parts of the R to C interface),
Ross Ihaka [aut] (Parts of the R to C interface),
R Core Team [aut] (Parts of the R to C interface),
R Foundation [aut] (Parts of the R to C interface)
Maintainer Vincent Goulet <[email protected]>
Repository CRAN
Date/Publication 2021-05-31 06:50:14 UTC

R topics documented:
adjCoef . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
aggregateDist . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
betaint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
BetaMoments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
Burr . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
ChisqSupp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
cm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
coverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
CTE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
dental . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
discretize . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
elev . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
emm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
ExponentialSupp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
Extract.grouped.data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
FellerPareto . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
GammaSupp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
gdental . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
GeneralizedBeta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
GeneralizedPareto . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
grouped.data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
Gumbel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
hachemeister . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
hist.grouped.data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
InverseBurr . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
InverseExponential . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
InverseGamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
InverseGaussian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
InverseParalogistic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
InversePareto . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
InverseTransformedGamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
InverseWeibull . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
R topics documented: 3

Logarithmic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
Loggamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
Loglogistic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
LognormalMoments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
mde . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
mean.grouped.data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
NormalSupp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
ogive . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
Paralogistic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78
Pareto . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
Pareto2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
Pareto3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
Pareto4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
PhaseType . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
PoissonInverseGaussian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90
quantile.aggregateDist . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
quantile.grouped.data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
rcompound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
rmixture . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
ruin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98
severity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
simul . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
simul.summaries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
SingleParameterPareto . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
TransformedBeta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
TransformedGamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
UniformSupp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113
unroll . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114
VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115
WeibullMoments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116
ZeroModifiedBinomial . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
ZeroModifiedGeometric . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
ZeroModifiedLogarithmic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121
ZeroModifiedNegativeBinomial . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
ZeroModifiedPoisson . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
ZeroTruncatedBinomial . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127
ZeroTruncatedGeometric . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
ZeroTruncatedNegativeBinomial . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131
ZeroTruncatedPoisson . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133

Index 136
4 adjCoef

adjCoef Adjustment Coefficient

Description
Compute the adjustment coefficient in ruin theory, or return a function to compute the adjustment
coefficient for various reinsurance retentions.

Usage
adjCoef(mgf.claim, mgf.wait = mgfexp, premium.rate, upper.bound,
h, reinsurance = c("none", "proportional", "excess-of-loss"),
from, to, n = 101)

## S3 method for class 'adjCoef'

plot(x, xlab = "x", ylab = "R(x)",
main = "Adjustment Coefficient", sub = comment(x),
type = "l", add = FALSE, ...)

Arguments
mgf.claim an expression written as a function of x or of x and y, or alternatively the name
of a function, giving the moment generating function (mgf) of the claim severity
distribution.
mgf.wait an expression written as a function of x, or alternatively the name of a func-
tion, giving the mgf of the claims interarrival time distribution. Defaults to an
exponential distribution with mean 1.
premium.rate if reinsurance = "none", a numeric value of the premium rate; otherwise, an
expression written as a function of y, or alternatively the name of a function,
giving the premium rate function.
upper.bound numeric; an upper bound for the coefficient, usually the upper bound of the
support of the claim severity mgf.
h an expression written as a function of x or of x and y, or alternatively the name
of a function, giving function h in the Lundberg equation (see below); ignored
if mgf.claim is provided.
reinsurance the type of reinsurance for the portfolio; can be abbreviated.
from, to the range over which the adjustment coefficient will be calculated.
n integer; the number of values at which to evaluate the adjustment coefficient.
x an object of class "adjCoef".
xlab, ylab label of the x and y axes, respectively.
main main title.
sub subtitle, defaulting to the type of reinsurance.
type 1-character string giving the type of plot desired; see plot for details.
add logical; if TRUE add to already existing plot.
... further graphical parameters accepted by plot or lines.
adjCoef 5

Details
In the typical case reinsurance = "none", the coefficient of determination is the smallest (strictly)
positive root of the Lundberg equation

h(x) = E[exB−xcW ] = 1

on [0, m), where m = upper.bound, B is the claim severity random variable, W is the claim
interarrival (or wait) time random variable and c = premium.rate. The premium rate must satisfy
the positive safety loading constraint E[B − cW ] < 0.
With reinsurance = "proportional", the equation becomes

h(x, y) = E[exyB−xc(y)W ] = 1,

where y is the retention rate and c(y) is the premium rate function.
With reinsurance = "excess-of-loss", the equation becomes

h(x, y) = E[ex min(B,y)−xc(y)W ] = 1,

where y is the retention limit and c(y) is the premium rate function.
One can use argument h as an alternative way to provide function h(x) or h(x, y). This is necessary
in cases where random variables B and W are not independent.
The root of h(x) = 1 is found by minimizing (h(x) − 1)2 .

Value
If reinsurance = "none", a numeric vector of length one. Otherwise, a function of class "adjCoef"
inheriting from the "function" class.

Author(s)
Christophe Dutang, Vincent Goulet <[email protected]>

References
Bowers, N. J. J., Gerber, H. U., Hickman, J., Jones, D. and Nesbitt, C. (1986), Actuarial Mathemat-
ics, Society of Actuaries.
Centeno, M. d. L. (2002), Measuring the effects of reinsurance by the adjustment coefficient in the
Sparre-Anderson model, Insurance: Mathematics and Economics 30, 37–49.
Gerber, H. U. (1979), An Introduction to Mathematical Risk Theory, Huebner Foundation.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2008), Loss Models, From Data to Decisions,
Third Edition, Wiley.

Examples
## Basic example: no reinsurance, exponential claim severity and wait
## times, premium rate computed with expected value principle and
## safety loading of 20%.
adjCoef(mgfexp, premium = 1.2, upper = 1)
6 aggregateDist

## Same thing, giving function h.

h <- function(x) 1/((1 - x) * (1 + 1.2 * x))
adjCoef(h = h, upper = 1)

## Example 11.4 of Klugman et al. (2008)

mgfx <- function(x) 0.6 * exp(x) + 0.4 * exp(2 * x)
adjCoef(mgfx(x), mgfexp(x, 4), prem = 7, upper = 0.3182)

## Proportional reinsurance, same assumptions as above, reinsurer's

## safety loading of 30%.
mgfx <- function(x, y) mgfexp(x * y)
p <- function(x) 1.3 * x - 0.1
h <- function(x, a) 1/((1 - a * x) * (1 + x * p(a)))
R1 <- adjCoef(mgfx, premium = p, upper = 1, reins = "proportional",
from = 0, to = 1, n = 11)
R2 <- adjCoef(h = h, upper = 1, reins = "p",
from = 0, to = 1, n = 101)
R1(seq(0, 1, length = 10)) # evaluation for various retention rates
R2(seq(0, 1, length = 10)) # same
plot(R1) # graphical representation
plot(R2, col = "green", add = TRUE) # smoother function

## Excess-of-loss reinsurance
p <- function(x) 1.3 * levgamma(x, 2, 2) - 0.1
mgfx <- function(x, l)
mgfgamma(x, 2, 2) * pgamma(l, 2, 2 - x) +
exp(x * l) * pgamma(l, 2, 2, lower = FALSE)
h <- function(x, l) mgfx(x, l) * mgfexp(-x * p(l))
R1 <- adjCoef(mgfx, upper = 1, premium = p, reins = "excess-of-loss",
from = 0, to = 10, n = 11)
R2 <- adjCoef(h = h, upper = 1, reins = "e",
from = 0, to = 10, n = 101)
plot(R1)
plot(R2, col = "green", add = TRUE)

aggregateDist Aggregate Claim Amount Distribution

Description
Compute the aggregate claim amount cumulative distribution function of a portfolio over a period
using one of five methods.

Usage
aggregateDist(method = c("recursive", "convolution", "normal",
"npower", "simulation"),
model.freq = NULL, model.sev = NULL, p0 = NULL,
x.scale = 1, convolve = 0, moments, nb.simul, ...,
aggregateDist 7

tol = 1e-06, maxit = 500, echo = FALSE)

## S3 method for class 'aggregateDist'

print(x, ...)

## S3 method for class 'aggregateDist'

plot(x, xlim, ylab = expression(F[S](x)),
main = "Aggregate Claim Amount Distribution",
sub = comment(x), ...)

## S3 method for class 'aggregateDist'

summary(object, ...)

## S3 method for class 'aggregateDist'

mean(x, ...)

## S3 method for class 'aggregateDist'

diff(x, ...)

Arguments
method method to be used
model.freq for "recursive" method: a character string giving the name of a distribution in
the (a, b, 0) or (a, b, 1) families of distributions. For "convolution" method: a
vector of claim number probabilities. For "simulation" method: a frequency
simulation model (see rcomphierarc for details) or NULL. Ignored with normal
and npower methods.
model.sev for "recursive" and "convolution" methods: a vector of claim amount prob-
abilities. For "simulation" method: a severity simulation model (see rcomphierarc
for details) or NULL. Ignored with normal and npower methods.
p0 arbitrary probability at zero for the frequency distribution. Creates a zero-
modified or zero-truncated distribution if not NULL. Used only with "recursive"
method.
x.scale value of an amount of 1 in the severity model (monetary unit). Used only with
"recursive" and "convolution" methods.
convolve number of times to convolve the resulting distribution with itself. Used only
with "recursive" method.
moments vector of the true moments of the aggregate claim amount distribution; required
only by the "normal" or "npower" methods.
nb.simul number of simulations for the "simulation" method.
... parameters of the frequency distribution for the "recursive" method; further
arguments to be passed to or from other methods otherwise.
tol the resulting cumulative distribution in the "recursive" method will get less
than tol away from 1.
maxit maximum number of recursions in the "recursive" method.
echo logical; echo the recursions to screen in the "recursive" method.
8 aggregateDist

x, object an object of class "aggregateDist".

xlim numeric of length 2; the x limits of the plot.
ylab label of the y axis.
main main title.
sub subtitle, defaulting to the calculation method.

Details
aggregateDist returns a function to compute the cumulative distribution function (cdf) of the
aggregate claim amount distribution in any point.
The "recursive" method computes the cdf using the Panjer algorithm; the "convolution" method
using convolutions; the "normal" method using a normal approximation; the "npower" method
using the Normal Power 2 approximation; the "simulation" method using simulations. More
details follow.

Value
A function of class "aggregateDist", inheriting from the "function" class when using normal
and Normal Power approximations and additionally inheriting from the "ecdf" and "stepfun"
classes when other methods are used.
There are methods available to summarize (summary), represent (print), plot (plot), compute
quantiles (quantile) and compute the mean (mean) of "aggregateDist" objects.
For the diff method: a numeric vector of probabilities corresponding to the probability mass func-
tion evaluated at the knots of the distribution.

Recursive method
The frequency distribution must be a member of the (a, b, 0) or (a, b, 1) families of discrete distri-
butions.
To use a distribution from the (a, b, 0) family, model.freq must be one of "binomial", "geometric",
"negative binomial" or "poisson", and p0 must be NULL.
To use a zero-truncated distribution from the (a, b, 1) family, model.freq may be one of the strings
above together with p0 = 0. As a shortcut, model.freq may also be one of "zero-truncated
binomial", "zero-truncated geometric", "zero-truncated negative binomial", "zero-truncated
poisson" or "logarithmic", and p0 is then ignored (with a warning if non NULL).
(Note: since the logarithmic distribution is always zero-truncated. model.freq = "logarithmic"
may be used with either p0 = NULL or p0 = 0.)
To use a zero-modified distribution from the (a, b, 1) family, model.freq may be one of stan-
dard frequency distributions mentioned above with p0 set to some probability that the distribution
takes the value 0. It is equivalent, but more explicit, to set model.freq to one of "zero-modified
binomial", "zero-modified geometric", "zero-modified negative binomial", "zero-modified
poisson" or "zero-modified logarithmic".
The parameters of the frequency distribution must be specified using names identical to the argu-
ments of the appropriate function dbinom, dgeom, dnbinom, dpois or dlogarithmic. In the latter
case, do take note that the parametrization of dlogarithmic is different from Appendix B of Klug-
man et al. (2012).
aggregateDist 9

If the length of p0 is greater than one, only the first element is used, with a warning.
model.sev is a vector of the (discretized) claim amount distribution X; the first element must be
fX (0) = Pr[X = 0].
The recursion will fail to start if the expected number of claims is too large. One may divide the
appropriate parameter of the frequency distribution by 2n and convolve the resulting distribution
n = convolve times.
Failure to obtain a cumulative distribution function less than tol away from 1 within maxit itera-
tions is often due to too coarse a discretization of the severity distribution.

Convolution method
The cumulative distribution function (cdf) FS (x) of the aggregate claim amount of a portfolio in
the collective risk model is
X∞
∗n
FS (x) = FX (x)pn ,
n=0
∗n
for x = 0, 1, . . .; pn = Pr[N = n] is the frequency probability mass function and FX (x) is the
cdf of the nth convolution of the (discrete) claim amount random variable.
model.freq is vector pn of the number of claims probabilities; the first element must be Pr[N =
0].
model.sev is vector fX (x) of the (discretized) claim amount distribution; the first element must
be fX (0).

Normal and Normal Power 2 methods

The Normal approximation of a cumulative distribution function (cdf) F (x) with mean µ and stan-
dard deviation σ is  
x−µ
F (x) ≈ Φ .
σ

The Normal Power 2 approximation of a cumulative distribution function (cdf) F (x) with mean µ,
standard deviation σ and skewness γ is
 r 
3 9 6x−µ
F (x) ≈ Φ − + + 1 + .
γ γ2 γ σ

This formula is valid only for the right-hand tail of the distribution and skewness should not exceed
unity.

Simulation method
This methods returns the empirical distribution function of a sample of size nb.simul of the aggre-
gate claim amount distribution specified by model.freq and model.sev. rcomphierarc is used
for the simulation of claim amounts, hence both the frequency and severity models can be mixtures
of distributions.

Author(s)
Vincent Goulet <[email protected]> and Louis-Philippe Pouliot
10 aggregateDist

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.
Daykin, C.D., Pentikäinen, T. and Pesonen, M. (1994), Practical Risk Theory for Actuaries, Chap-
man & Hall.

See Also
discretize to discretize a severity distribution; mean.aggregateDist to compute the mean of the
distribution; quantile.aggregateDist to compute the quantiles or the Value-at-Risk; CTE.aggregateDist
to compute the Conditional Tail Expectation (or Tail Value-at-Risk); rcomphierarc.

Examples
## Convolution method (example 9.5 of Klugman et al. (2012))
fx <- c(0, 0.15, 0.2, 0.25, 0.125, 0.075,
0.05, 0.05, 0.05, 0.025, 0.025)
pn <- c(0.05, 0.1, 0.15, 0.2, 0.25, 0.15, 0.06, 0.03, 0.01)
Fs <- aggregateDist("convolution", model.freq = pn,
model.sev = fx, x.scale = 25)
summary(Fs)
c(Fs(0), diff(Fs(25 * 0:21))) # probability mass function
plot(Fs)

## Recursive method (example 9.10 of Klugman et al. (2012))

fx <- c(0, crossprod(c(2, 1)/3,
matrix(c(0.6, 0.7, 0.4, 0, 0, 0.3), 2, 3)))
Fs <- aggregateDist("recursive", model.freq = "poisson",
model.sev = fx, lambda = 3)
plot(Fs)
Fs(knots(Fs)) # cdf evaluated at its knots
diff(Fs) # probability mass function

## Recursive method (high frequency)

fx <- c(0, 0.15, 0.2, 0.25, 0.125, 0.075,
0.05, 0.05, 0.05, 0.025, 0.025)
## Not run: Fs <- aggregateDist("recursive", model.freq = "poisson",
model.sev = fx, lambda = 1000)
## End(Not run)
Fs <- aggregateDist("recursive", model.freq = "poisson",
model.sev = fx, lambda = 250, convolve = 2, maxit = 1500)
plot(Fs)

## Recursive method (zero-modified distribution; example 9.11 of

## Klugman et al. (2012))
Fn <- aggregateDist("recursive", model.freq = "binomial",
model.sev = c(0.3, 0.5, 0.2), x.scale = 50,
p0 = 0.4, size = 3, prob = 0.3)
diff(Fn)

## Equivalent but more explicit call

betaint 11

aggregateDist("recursive", model.freq = "zero-modified binomial",

model.sev = c(0.3, 0.5, 0.2), x.scale = 50,
p0 = 0.4, size = 3, prob = 0.3)

## Recursive method (zero-truncated distribution). Using 'fx' above

## would mean that both Pr[N = 0] = 0 and Pr[X = 0] = 0, therefore
## Pr[S = 0] = 0 and recursions would not start.
fx <- discretize(pexp(x, 1), from = 0, to = 100, method = "upper")
fx[1L] # non zero
aggregateDist("recursive", model.freq = "zero-truncated poisson",
model.sev = fx, lambda = 3, x.scale = 25, echo=TRUE)

## Normal Power approximation

Fs <- aggregateDist("npower", moments = c(200, 200, 0.5))
Fs(210)

## Simulation method
model.freq <- expression(data = rpois(3))
model.sev <- expression(data = rgamma(100, 2))
Fs <- aggregateDist("simulation", nb.simul = 1000,
model.freq, model.sev)
mean(Fs)
plot(Fs)

## Evaluation of ruin probabilities using Beekman's formula with

## Exponential(1) claim severity, Poisson(1) frequency and premium rate
## c = 1.2.
fx <- discretize(pexp(x, 1), from = 0, to = 100, method = "lower")
phi0 <- 0.2/1.2
Fs <- aggregateDist(method = "recursive", model.freq = "geometric",
model.sev = fx, prob = phi0)
1 - Fs(400) # approximate ruin probability
u <- 0:100
plot(u, 1 - Fs(u), type = "l", main = "Ruin probability")

betaint The “Beta Integral”

Description
The “beta integral” which is just a multiple of the non regularized incomplete beta function. This
function merely provides an R interface to the C level routine. It is not exported by the package.

Usage
betaint(x, a, b)

Arguments
x vector of quantiles.
a, b parameters. See Details for admissible values.
12 betaint

Details

Function betaint computes the “beta integral”

Z x
B(a, b; x) = Γ(a + b) ta−1 (1 − t)b−1 dt
0

for a > 0, b 6= −1, −2, . . . and 0 < x < 1. (Here Γ(α) is the function implemented by R’s gamma()
and defined in its help.) When b > 0,

B(a, b; x) = Γ(a)Γ(b)Ix (a, b),

where Ix (a, b) is pbeta(x,a,b). When b < 0, b 6= −1, −2, . . ., and a > 1 + [−b],

xa−1 (1 − x)b (a − 1)xa−2 (1 − x)b+1


B(a, b; x) = −Γ(a + b) +
b b(b + 1) 
(a − 1) · · · (a − r)xa−r−1 (1 − x)b+r
+··· +
b(b + 1) · · · (b + r)
(a − 1) · · · (a − r − 1)
+ Γ(a − r − 1)
b(b + 1) · · · (b + r)
×Γ(b + r + 1)Ix (a − r − 1, b + r + 1),

where r = [−b].
This function is used (at the C level) to compute the limited expected value for distributions of the
transformed beta family; see, for example, levtrbeta.

Value

The value of the integral.

Invalid arguments will result in return value NaN, with a warning.

Note

The need for this function in the package is well explained in the introduction of Appendix A of
Klugman et al. (2012). See also chapter 6 and 15 of Abramowitz and Stegun (1972) for definitions
and relations to the hypergeometric series.

Author(s)

Vincent Goulet <[email protected]>

References

Abramowitz, M. and Stegun, I. A. (1972), Handbook of Mathematical Functions, Dover.

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.
BetaMoments 13

Examples
x <- 0.3
a <- 7

## case with b > 0

b <- 2
actuar:::betaint(x, a, b)
gamma(a) * gamma(b) * pbeta(x, a, b) # same

## case with b < 0

b <- -2.2
r <- floor(-b) # r = 2
actuar:::betaint(x, a, b)

## "manual" calculation
s <- (x^(a-1) * (1-x)^b)/b +
((a-1) * x^(a-2) * (1-x)^(b+1))/(b * (b+1)) +
((a-1) * (a-2) * x^(a-3) * (1-x)^(b+2))/(b * (b+1) * (b+2))
-gamma(a+b) * s +
(a-1)*(a-2)*(a-3) * gamma(a-r-1)/(b*(b+1)*(b+2)) *
gamma(b+r+1)*pbeta(x, a-r-1, b+r+1)

BetaMoments Raw and Limited Moments of the Beta Distribution

Description
Raw moments and limited moments for the (central) Beta distribution with parameters shape1 and
shape2.

Usage
mbeta(order, shape1, shape2)
levbeta(limit, shape1, shape2, order = 1)

Arguments
order order of the moment.
limit limit of the loss variable.
shape1, shape2 positive parameters of the Beta distribution.

Details
The kth raw moment of the random variable X is E[X k ] and the kth limited moment at some limit
d is E[min(X, d)k ], k > −α.
The noncentral beta distribution is not supported.
14 Burr

Value

mbeta gives the kth raw moment and levbeta gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Author(s)

Vincent Goulet <[email protected]> and Mathieu Pigeon

References

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also

Beta for details on the beta distribution and functions [dpqr]beta.

Examples
mbeta(2, 3, 4) - mbeta(1, 3, 4)^2
levbeta(10, 3, 4, order = 2)

Burr The Burr Distribution

Description

Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Burr distribution with parameters shape1, shape2 and scale.

Usage

dburr(x, shape1, shape2, rate = 1, scale = 1/rate,

log = FALSE)
pburr(q, shape1, shape2, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qburr(p, shape1, shape2, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rburr(n, shape1, shape2, rate = 1, scale = 1/rate)
mburr(order, shape1, shape2, rate = 1, scale = 1/rate)
levburr(limit, shape1, shape2, rate = 1, scale = 1/rate,
order = 1)
Burr 15

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shape1, shape2, scale
parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.

Details
The Burr distribution with parameters shape1 = α, shape2 = γ and scale = θ has density:

αγ(x/θ)γ
f (x) =
x[1 + (x/θ)γ ]α+1

for x > 0, α > 0, γ > 0 and θ > 0.

The Burr is the distribution of the random variable
 1/γ
X
θ ,
1−X

where X has a beta distribution with parameters 1 and α.

The Burr distribution has the following special cases:

• A Loglogistic distribution when shape1 == 1;

• A Paralogistic distribution when shape2 == shape1;
• A Pareto distribution when shape2 == 1.

The kth raw moment of the random variable X is E[X k ], −γ < k < αγ.
The kth limited moment at some limit d is E[min(X, d)k ], k > −γ and α − k/γ not a negative
integer.

Value
dburr gives the density, pburr gives the distribution function, qburr gives the quantile function,
rburr generates random deviates, mburr gives the kth raw moment, and levburr gives the kth
moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.
16 ChisqSupp

Note
levburr computes the limited expected value using betaint.
Distribution also known as the Burr Type XII or Singh-Maddala distribution. See also Kleiber and
Kotz (2003) for alternative names and parametrizations.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
dpareto4 for an equivalent distribution with a location parameter.

Examples
exp(dburr(1, 2, 3, log = TRUE))
p <- (1:10)/10
pburr(qburr(p, 2, 3, 2), 2, 3, 2)

## variance
mburr(2, 2, 3, 1) - mburr(1, 2, 3, 1) ^ 2

## case with shape1 - order/shape2 > 0

levburr(10, 2, 3, 1, order = 2)

## case with shape1 - order/shape2 < 0

levburr(10, 1.5, 0.5, 1, order = 2)

ChisqSupp Moments and Moment Generating Function of the (non-central) Chi-

Squared Distribution

Description
Raw moments, limited moments and moment generating function for the chi-squared (χ2 ) distribu-
tion with df degrees of freedom and optional non-centrality parameter ncp.
ChisqSupp 17

Usage
mchisq(order, df, ncp = 0)
levchisq(limit, df, ncp = 0, order = 1)
mgfchisq(t, df, ncp = 0, log= FALSE)

Arguments
order order of the moment.
limit limit of the loss variable.
df degrees of freedom (non-negative, but can be non-integer).
ncp non-centrality parameter (non-negative).
t numeric vector.
log logical; if TRUE, the cumulant generating function is returned.

Details
The kth raw moment of the random variable X is E[X k ], the kth limited moment at some limit d
is E[min(X, d)] and the moment generating function is E[etX ].
Only integer moments are supported for the non central Chi-square distribution (ncp > 0).
The limited expected value is supported for the centered Chi-square distribution (ncp = 0).

Value
mchisq gives the kth raw moment, levchisq gives the kth moment of the limited loss variable, and
mgfchisq gives the moment generating function in t.
Invalid arguments will result in return value NaN, with a warning.

Author(s)
Christophe Dutang, Vincent Goulet <[email protected]>

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.
Johnson, N. L. and Kotz, S. (1970), Continuous Univariate Distributions, Volume 1, Wiley.

See Also
Chisquare

Examples
mchisq(2, 3, 4)
levchisq(10, 3, order = 2)
mgfchisq(0.25, 3, 2)
18 cm

cm Credibility Models

Description
Fit the following credibility models: Bühlmann, Bühlmann-Straub, hierarchical, regression (Hachemeis-
ter) or linear Bayes.

Usage
cm(formula, data, ratios, weights, subset,
regformula = NULL, regdata, adj.intercept = FALSE,
method = c("Buhlmann-Gisler", "Ohlsson", "iterative"),
likelihood, ...,
tol = sqrt(.Machine$double.eps), maxit = 100, echo = FALSE)

## S3 method for class 'cm'

print(x, ...)

## S3 method for class 'cm'

predict(object, levels = NULL, newdata, ...)

## S3 method for class 'cm'

summary(object, levels = NULL, newdata, ...)

## S3 method for class 'summary.cm'

print(x, ...)

Arguments
formula character string "bayes" or an object of class "formula": a symbolic descrip-
tion of the model to be fit. The details of model specification are given below.
data a matrix or a data frame containing the portfolio structure, the ratios or claim
amounts and their associated weights, if any.
ratios expression indicating the columns of data containing the ratios or claim amounts.
weights expression indicating the columns of data containing the weights associated
with ratios.
subset an optional logical expression indicating a subset of observations to be used in
the modeling process. All observations are included by default.
regformula an object of class "formula": symbolic description of the regression component
(see lm for details). No left hand side is needed in the formula; if present it is
ignored. If NULL, no regression is done on the data.
regdata an optional data frame, list or environment (or object coercible by as.data.frame
to a data frame) containing the variables in the regression model.
cm 19

adj.intercept if TRUE, the intercept of the regression model is located at the barycenter of the
regressor instead of the origin.
method estimation method for the variance components of the model; see details below.
likelihood a character string giving the name of the likelihood function in one of the sup-
ported linear Bayes cases; see details below.
tol tolerance level for the stopping criteria for iterative estimation method.
maxit maximum number of iterations in iterative estimation method.
echo logical; whether to echo the iterative procedure or not.
x, object an object of class "cm".
levels character vector indicating the levels to predict or to include in the summary; if
NULL all levels are included.
newdata data frame containing the variables used to predict credibility regression models.
... parameters of the prior distribution for cm; additional attributes to attach to the
result for the predict and summary methods; further arguments to format for
the print.summary method; unused for the print method.

Details
cm is the unified front end for credibility models fitting. The function supports hierarchical models
with any number of levels (with Bühlmann and Bühlmann-Straub models as special cases) and the
regression model of Hachemeister. Usage of cm is similar to lm for these cases. cm can also fit linear
Bayes models, in which case usage is much simplified; see the section on linear Bayes below.
When not "bayes", the formula argument symbolically describes the structure of the portfolio in
the form terms. Each term is an interaction between risk factors contributing to the total variance
of the portfolio data. Terms are separated by + operators and interactions within each term by :. For
a portfolio divided first into sectors, then units and finally contracts, formula would be ~ sector +
sector:unit + sector:unit:contract, where sector, unit and contract are column names in
data. In general, the formula should be of the form ~ a + a:b + a:b:c + a:b:c:d + ....
If argument regformula is not NULL, the regression model of Hachemeister is fit to the data. The
response is usually time. By default, the intercept of the model is located at time origin. If argument
adj.intercept is TRUE, the intercept is moved to the (collective) barycenter of time, by orthogo-
nalization of the design matrix. Note that the regression coefficients may be difficult to interpret in
this case.
Arguments ratios, weights and subset are used like arguments select, select and subset,
respectively, of function subset.
Data does not have to be sorted by level. Nodes with no data (complete lines of NA except for the
portfolio structure) are allowed, with the restriction mentioned above.

Value
Function cm computes the structure parameters estimators of the model specified in formula. The
value returned is an object of class cm.
An object of class "cm" is a list with at least the following components:
means a list containing, for each level, the vector of linearly sufficient statistics.
20 cm

weights a list containing, for each level, the vector of total weights.
unbiased a vector containing the unbiased variance components estimators, or NULL.
iterative a vector containing the iterative variance components estimators, or NULL.
cred for multi-level hierarchical models: a list containing, the vector of credibility
factors for each level. For one-level models: an array or vector of credibility
factors.
nodes a list containing, for each level, the vector of the number of nodes in the level.
classification the columns of data containing the portfolio classification structure.
ordering a list containing, for each level, the affiliation of a node to the node of the level
above.

Regression fits have in addition the following components:

adj.models a list containing, for each node, the credibility adjusted regression model as
obtained with lm.fit or lm.wfit.
transition if adj.intercept is TRUE, a transition matrix from the basis of the orthogonal
design matrix to the basis of the original design matrix.
terms the terms object used.

The method of predict for objects of class "cm" computes the credibility premiums for the nodes
of every level included in argument levels (all by default). Result is a list the same length as
levels or the number of levels in formula, or an atomic vector for one-level models.

Hierarchical models
The credibility premium at one level is a convex combination between the linearly sufficient statistic
of a node and the credibility premium of the level above. (For the first level, the complement of
credibility is given to the collective premium.) The linearly sufficient statistic of a node is the
credibility weighted average of the data of the node, except at the last level, where natural weights
are used. The credibility factor of node i is equal to
wi
,
wi + a/b

where wi is the weight of the node used in the linearly sufficient statistic, a is the average within
node variance and b is the average between node variance.

Regression models
The credibility premium of node i is equal to

y 0 bai ,

where y is a matrix created from newdata and bai is the vector of credibility adjusted regression
coefficients of node i. The latter is given by

bai = Zi bi + (I − ZI )m,
cm 21

where bi is the vector of regression coefficients based on data of node i only, m is the vector of
collective regression coefficients, Zi is the credibility matrix and I is the identity matrix. The
credibility matrix of node i is equal to

A−1 (A + s2 Si ),

where Si is the unscaled regression covariance matrix of the node, s2 is the average within node
variance and A is the within node covariance matrix.
If the intercept is positioned at the barycenter of time, matrices Si and A (and hence Zi ) are diago-
nal. This amounts to use Bühlmann-Straub models for each regression coefficient.
Argument newdata provides the “future” value of the regressors for prediction purposes. It should
be given as specified in predict.lm.

Variance components estimation

For hierarchical models, two sets of estimators of the variance components (other than the within
node variance) are available: unbiased estimators and iterative estimators.
Unbiased estimators are based on sums of squares of the form
X
Bi = wij (Xij − X̄i )2 − (J − 1)a
j

and constants of the form

2
X wij
ci = wi − ,
j
wi

where Xij is the linearly Psufficient statistic of level (ij); X̄i is the weighted average of the latter
using weights wij ; wi = j wij ; J is the effective number of nodes at level (ij); a is the within
variance of this level. Weights wij are the natural weights at the lowest level, the sum of the natural
weights the next level and the sum of the credibility factors for all upper levels.
The Bühlmann-Gisler estimators (method = "Buhlmann-Gisler") are given by
 
1X Bi
b= max ,0 ,
I i ci

that is the average of the per node variance estimators truncated at 0.

The Ohlsson estimators (method = "Ohlsson") are given by
P
Bi
b = Pi ,
i ci

that is the weighted average of the per node variance estimators without any truncation. Note that
negative estimates will be truncated to zero for credibility factor calculations.
In the Bühlmann-Straub model, these estimators are equivalent.
Iterative estimators method = "iterative" are pseudo-estimators of the form
1X
b= wi (Xi − X̄)2 ,
d i
22 cm

where Xi is the linearly sufficient statistic of one level, X̄ is the linearly sufficient statistic of the
level above and d is the effective number of nodes at one level minus the effective number of nodes
of the level above. The Ohlsson estimators are used as starting values.
For regression models, with the intercept at time origin, only iterative estimators are available. If
method is different from "iterative", a warning is issued. With the intercept at the barycenter of
time, the choice of estimators is the same as in the Bühlmann-Straub model.

Linear Bayes
When formula is "bayes", the function computes pure Bayesian premiums for the following com-
binations of distributions where they are linear credibility premiums:

• X|Θ = θ ∼ Poisson(θ) and Θ ∼ Gamma(α, λ);

• X|Θ = θ ∼ Exponential(θ) and Θ ∼ Gamma(α, λ);
• X|Θ = θ ∼ Gamma(τ, θ) and Θ ∼ Gamma(α, λ);
• X|Θ = θ ∼ Normal(θ, σ22 ) and Θ ∼ Normal(µ, σ12 );
• X|Θ = θ ∼ Bernoulli(θ) and Θ ∼ Beta(a, b);
• X|Θ = θ ∼ Binomial(ν, θ) and Θ ∼ Beta(a, b);
• X|Θ = θ ∼ Geometric(θ) and Θ ∼ Beta(a, b).
• X|Θ = θ ∼ Negative Binomial(r, θ) and Θ ∼ Beta(a, b).

The following combination is also supported: X|Θ = θ ∼ Single Parameter Pareto(θ) and Θ ∼
Gamma(α, λ). In this case, the Bayesian estimator not of the risk premium, but rather of parameter
θ is linear with a “credibility” factor that is not restricted to (0, 1).
Argument likelihood identifies the distribution of X|Θ = θ as one of "poisson", "exponential",
"gamma", "normal", "bernoulli", "binomial", "geometric", "negative binomial" or "pareto".
The parameters of the distributions of X|Θ = θ (when needed) and Θ are set in ... using the
argument names (and default values) of dgamma, dnorm, dbeta, dbinom, dnbinom or dpareto1,
as appropriate. For the Gamma/Gamma case, use shape.lik for the shape parameter τ of the
Gamma likelihood. For the Normal/Normal case, use sd.lik for the standard error σ2 of the
Normal likelihood.
Data for the linear Bayes case may be a matrix or data frame as usual; an atomic vector to fit the
model to a single contract; missing or NULL to fit the prior model. Arguments ratios, weights and
subset are ignored.

Author(s)
Vincent Goulet <[email protected]>, Xavier Milhaud, Tommy Ouellet, Louis-
Philippe Pouliot

References
Bühlmann, H. and Gisler, A. (2005), A Course in Credibility Theory and its Applications, Springer.
Belhadj, H., Goulet, V. and Ouellet, T. (2009), On parameter estimation in hierarchical credibility,
Astin Bulletin 39.
cm 23

Goulet, V. (1998), Principles and application of credibility theory, Journal of Actuarial Practice 6,
ISSN 1064-6647.
Goovaerts, M. J. and Hoogstad, W. J. (1987), Credibility Theory, Surveys of Actuarial Studies, No.
4, Nationale-Nederlanden N.V.

See Also
subset, formula, lm, predict.lm.

Examples
data(hachemeister)

## Buhlmann-Straub model
fit <- cm(~state, hachemeister,
ratios = ratio.1:ratio.12, weights = weight.1:weight.12)
fit # print method
predict(fit) # credibility premiums
summary(fit) # more details

## Two-level hierarchical model. Notice that data does not have

## to be sorted by level
X <- data.frame(unit = c("A", "B", "A", "B", "B"), hachemeister)
fit <- cm(~unit + unit:state, X, ratio.1:ratio.12, weight.1:weight.12)
predict(fit)
predict(fit, levels = "unit") # unit credibility premiums only
summary(fit)
summary(fit, levels = "unit") # unit summaries only

## Regression model with intercept at time origin

fit <- cm(~state, hachemeister,
regformula = ~time, regdata = data.frame(time = 12:1),
ratios = ratio.1:ratio.12, weights = weight.1:weight.12)
fit
predict(fit, newdata = data.frame(time = 0))
summary(fit, newdata = data.frame(time = 0))

## Same regression model, with intercept at barycenter of time

fit <- cm(~state, hachemeister, adj.intercept = TRUE,
regformula = ~time, regdata = data.frame(time = 12:1),
ratios = ratio.1:ratio.12, weights = weight.1:weight.12)
fit
predict(fit, newdata = data.frame(time = 0))
summary(fit, newdata = data.frame(time = 0))

## Poisson/Gamma pure Bayesian model

fit <- cm("bayes", data = c(5, 3, 0, 1, 1),
likelihood = "poisson", shape = 3, rate = 3)
fit
predict(fit)
summary(fit)
24 coverage

## Normal/Normal pure Bayesian model

cm("bayes", data = c(5, 3, 0, 1, 1),
likelihood = "normal", sd.lik = 2,
mean = 2, sd = 1)

coverage Density and Cumulative Distribution Function for Modified Data

Description
Compute probability density function or cumulative distribution function of the payment per pay-
ment or payment per loss random variable under any combination of the following coverage modi-
fications: deductible, limit, coinsurance, inflation.

Usage
coverage(pdf, cdf, deductible = 0, franchise = FALSE,
limit = Inf, coinsurance = 1, inflation = 0,
per.loss = FALSE)

Arguments
pdf, cdf function object or character string naming a function to compute, respectively,
the probability density function and cumulative distribution function of a prob-
ability law.
deductible a unique positive numeric value.
franchise logical; TRUE for a franchise deductible, FALSE (default) for an ordinary de-
ductible.
limit a unique positive numeric value larger than deductible.
coinsurance a unique value between 0 and 1; the proportion of coinsurance.
inflation a unique value between 0 and 1; the rate of inflation.
per.loss logical; TRUE for the per loss distribution, FALSE (default) for the per payment
distribution.

Details
coverage returns a function to compute the probability density function (pdf) or the cumulative
distribution function (cdf) of the distribution of losses under coverage modifications. The pdf and
cdf of unmodified losses are pdf and cdf, respectively.
If pdf is specified, the pdf is returned; if pdf is missing or NULL, the cdf is returned. Note that cdf
is needed if there is a deductible or a limit.

Value
An object of mode "function" with the same arguments as pdf or cdf, except "lower.tail",
"log.p" and "log", which are not supported.
coverage 25

Note
Setting arguments of the function returned by coverage using formals may very well not work as
expected.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
vignette("coverage") for the exact definitions of the per payment and per loss random variables
under an ordinary or franchise deductible.

Examples
## Default case: pdf of the per payment random variable with
## an ordinary deductible
coverage(dgamma, pgamma, deductible = 1)

## Add a limit
f <- coverage(dgamma, pgamma, deductible = 1, limit = 7)
f <- coverage("dgamma", "pgamma", deductible = 1, limit = 7) # same
f(0, shape = 3, rate = 1)
f(2, shape = 3, rate = 1)
f(6, shape = 3, rate = 1)
f(8, shape = 3, rate = 1)
curve(dgamma(x, 3, 1), xlim = c(0, 10), ylim = c(0, 0.3)) # original
curve(f(x, 3, 1), xlim = c(0.01, 5.99), col = 4, add = TRUE) # modified
points(6, f(6, 3, 1), pch = 21, bg = 4)

## Cumulative distribution function

F <- coverage(cdf = pgamma, deductible = 1, limit = 7)
F(0, shape = 3, rate = 1)
F(2, shape = 3, rate = 1)
F(6, shape = 3, rate = 1)
F(8, shape = 3, rate = 1)
curve(pgamma(x, 3, 1), xlim = c(0, 10), ylim = c(0, 1)) # original
curve(F(x, 3, 1), xlim = c(0, 5.99), col = 4, add = TRUE) # modified
curve(F(x, 3, 1), xlim = c(6, 10), col = 4, add = TRUE) # modified

## With no deductible, all distributions below are identical

coverage(dweibull, pweibull, limit = 5)
coverage(dweibull, pweibull, per.loss = TRUE, limit = 5)
coverage(dweibull, pweibull, franchise = TRUE, limit = 5)
coverage(dweibull, pweibull, per.loss = TRUE, franchise = TRUE,
limit = 5)
26 CTE

## Coinsurance alone; only case that does not require the cdf
coverage(dgamma, coinsurance = 0.8)

CTE Conditional Tail Expectation

Description
Conditional Tail Expectation, also called Tail Value-at-Risk.
TVaR is an alias for CTE.

Usage
CTE(x, ...)

## S3 method for class 'aggregateDist'

CTE(x, conf.level = c(0.9, 0.95, 0.99),
names = TRUE, ...)

TVaR(x, ...)

Arguments
x an R object.
conf.level numeric vector of probabilities with values in [0, 1).
names logical; if true, the result has a names attribute. Set to FALSE for speedup with
many probs.
... further arguments passed to or from other methods.

Details
The Conditional Tail Expectation (or Tail Value-at-Risk) measures the average of losses above the
Value at Risk for some given confidence level, that is E[X|X > VaR(X)] where X is the loss
random variable.
CTE is a generic function with, currently, only a method for objects of class "aggregateDist".
For the recursive, convolution and simulation methods of aggregateDist, the CTE is computed
from the definition using the empirical cdf.
For the normal approximation method, an explicit formula exists:
σ 2
µ+ √ e−VaR(X) /2 ,
(1 − α) 2π

where µ is the mean, σ the standard deviation and α the confidence level.
dental 27

For the Normal Power approximation, the explicit formula given in Castañer et al. (2013) is
σ 2
 γ 
µ+ √ e−VaR(X) /2 1 + VaR(X) ,
(1 − α) 2π 6
where, as above, µ is the mean, σ the standard deviation, α the confidence level and γ is the
skewness.

Value
A numeric vector, named if names is TRUE.

Author(s)
Vincent Goulet <[email protected]> and Tommy Ouellet

References
Castañer, A. and Claramunt, M.M. and Mármol, M. (2013), Tail value at risk. An analysis with the
Normal-Power approximation. In Statistical and Soft Computing Approaches in Insurance Prob-
lems, pp. 87-112. Nova Science Publishers, 2013. ISBN 978-1-62618-506-7.

See Also
aggregateDist; VaR

Examples
model.freq <- expression(data = rpois(7))
model.sev <- expression(data = rnorm(9, 2))
Fs <- aggregateDist("simulation", model.freq, model.sev, nb.simul = 1000)
CTE(Fs)

dental Individual Dental Claims Data Set

Description
Basic dental claims on a policy with a deductible of 50.

Usage
dental

Format
A vector containing 10 observations

Source
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (1998), Loss Models, From Data to Decisions,
Wiley.
28 discretize

discretize Discretization of a Continuous Distribution

Description
Compute a discrete probability mass function from a continuous cumulative distribution function
(cdf) with various methods.
discretise is an alias for discretize.

Usage
discretize(cdf, from, to, step = 1,
method = c("upper", "lower", "rounding", "unbiased"),
lev, by = step, xlim = NULL)

discretise(cdf, from, to, step = 1,

method = c("upper", "lower", "rounding", "unbiased"),
lev, by = step, xlim = NULL)

Arguments
cdf an expression written as a function of x, or alternatively the name of a function,
giving the cdf to discretize.
from, to the range over which the function will be discretized.
step numeric; the discretization step (or span, or lag).
method discretization method to use.
lev an expression written as a function of x, or alternatively the name of a function,
to compute the limited expected value of the distribution corresponding to cdf.
Used only with the "unbiased" method.
by an alias for step.
xlim numeric of length 2; if specified, it serves as default for c(from,to).

Details
Usage is similar to curve.
discretize returns the probability mass function (pmf) of the random variable obtained by dis-
cretization of the cdf specified in cdf.
Let F (x) denote the cdf, E[min(X, x)] the limited expected value at x, h the step, px the probability
mass at x in the discretized distribution and set a = from and b = to.
Method "upper" is the forward difference of the cdf F :

px = F (x + h) − F (x)

for x = a, a + h, . . . , b − step.
discretize 29

Method "lower" is the backward difference of the cdf F :

px = F (x) − F (x − h)

for x = a + h, . . . , b and pa = F (a).

Method "rounding" has the true cdf pass through the midpoints of the intervals [x − h/2, x + h/2):

px = F (x + h/2) − F (x − h/2)

for x = a + h, . . . , b − step and pa = F (a + h/2). The function assumes the cdf is continuous.
Any adjusment necessary for discrete distributions can be done via cdf.
Method "unbiased" matches the first moment of the discretized and the true distributions. The
probabilities are as follows:

E[min(X, a)] − E[min(X, a + h)]

pa = + 1 − F (a)
h
2E[min(X, x)] − E[min(X, x − h)] − E[min(X, x + h)]
px = , a<x<b
h
E[min(X, b)] − E[min(X, b − h)]
pb = − 1 + F (b),
h

Value
A numeric vector of probabilities suitable for use in aggregateDist.

Author(s)
Vincent Goulet <[email protected]>

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
aggregateDist

Examples
x <- seq(0, 5, 0.5)

op <- par(mfrow = c(1, 1), col = "black")

## Upper and lower discretization

fu <- discretize(pgamma(x, 1), method = "upper",
from = 0, to = 5, step = 0.5)
fl <- discretize(pgamma(x, 1), method = "lower",
from = 0, to = 5, step = 0.5)
curve(pgamma(x, 1), xlim = c(0, 5))
30 elev

par(col = "blue")
plot(stepfun(head(x, -1), diffinv(fu)), pch = 19, add = TRUE)
par(col = "green")
plot(stepfun(x, diffinv(fl)), pch = 19, add = TRUE)
par(col = "black")

## Rounding (or midpoint) discretization

fr <- discretize(pgamma(x, 1), method = "rounding",
from = 0, to = 5, step = 0.5)
curve(pgamma(x, 1), xlim = c(0, 5))
par(col = "blue")
plot(stepfun(head(x, -1), diffinv(fr)), pch = 19, add = TRUE)
par(col = "black")

## First moment matching

fb <- discretize(pgamma(x, 1), method = "unbiased",
lev = levgamma(x, 1), from = 0, to = 5, step = 0.5)
curve(pgamma(x, 1), xlim = c(0, 5))
par(col = "blue")
plot(stepfun(x, diffinv(fb)), pch = 19, add = TRUE)

par(op)

elev Empirical Limited Expected Value

Description
Compute the empirical limited expected value for individual or grouped data.

Usage
elev(x, ...)

## Default S3 method:
elev(x, ...)

## S3 method for class 'grouped.data'

elev(x, ...)

## S3 method for class 'elev'

print(x, digits = getOption("digits") - 2, ...)

## S3 method for class 'elev'

summary(object, ...)

## S3 method for class 'elev'

knots(Fn, ...)
elev 31

## S3 method for class 'elev'

plot(x, ..., main = NULL, xlab = "x", ylab = "Empirical LEV")

Arguments

x a vector or an object of class "grouped.data" (in which case only the first
column of frequencies is used); for the methods, an object of class "elev",
typically.
digits number of significant digits to use, see print.
Fn, object an R object inheriting from "ogive".
main main title.
xlab, ylab labels of x and y axis.
... arguments to be passed to subsequent methods.

Details

The limited expected value (LEV) at u of a random variable X is E[X ∧ u] = E[min(X, u)]. For
individual data x1 , . . . , xn , the empirical LEV En [X ∧ u] is thus
 
1 X X
En [X ∧ u] = xj + u .
n x <u
j xj ≥u

Methods of elev exist for individual data or for grouped data created with grouped.data. The
formula in this case is too long to show here. See the reference for details.

Value

For elev, a function of class "elev", inheriting from the "function" class.

Author(s)

Vincent Goulet <[email protected]> and Mathieu Pigeon

References

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (1998), Loss Models, From Data to Decisions,
Wiley.

See Also

grouped.data to create grouped data objects; stepfun for related documentation (even though the
empirical LEV is not a step function).
32 emm

Examples
data(gdental)
lev <- elev(gdental)
lev
summary(lev)
knots(lev) # the group boundaries

lev(knots(lev)) # empirical lev at boundaries

lev(c(80, 200, 2000)) # and at other limits

plot(lev, type = "o", pch = 16)

emm Empirical Moments

Description
Raw empirical moments for individual and grouped data.

Usage
emm(x, order = 1, ...)

## Default S3 method:
emm(x, order = 1, ...)

## S3 method for class 'grouped.data'

emm(x, order = 1, ...)

Arguments
x a vector or matrix of individual data, or an object of class "grouped data".
order order of the moment. Must be positive.
... further arguments passed to or from other methods.

Details
Arguments ... are passed to colMeans; na.rm = TRUE may be useful for individual data with miss-
ing values.
Pn
For individual data, the kth empirical moment is j=1 xkj .
For grouped data with group boundaries c1 , . . . , cr and group frequencies n1 , . . . , nr , the kth em-
pirical moment is
r
X nj (ck+1j − ck+1
j−1 )
,
j=1
n(k + 1)(cj − cj−1 )
Pr
where n = j=1 nj .
ExponentialSupp 33

Value

A named vector or matrix of moments.

Author(s)

Vincent Goulet <[email protected]> and Mathieu Pigeon

References

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (1998), Loss Models, From Data to Decisions,
Wiley.

See Also

mean and mean.grouped.data for simpler access to the first moment.

Examples
## Individual data
data(dental)
emm(dental, order = 1:3)

## Grouped data
data(gdental)
emm(gdental)
x <- grouped.data(cj = gdental[, 1],
nj1 = sample(1:100, nrow(gdental)),
nj2 = sample(1:100, nrow(gdental)))
emm(x) # same as mean(x)

ExponentialSupp Moments and Moment Generating Function of the Exponential Distri-

bution

Description

Raw moments, limited moments and moment generating function for the exponential distribution
with rate rate (i.e., mean 1/rate).

Usage

mexp(order, rate = 1)
levexp(limit, rate = 1, order = 1)
mgfexp(t, rate = 1, log = FALSE)
34 ExponentialSupp

Arguments

order order of the moment.

limit limit of the loss variable.
rate vector of rates.
t numeric vector.
log logical; if TRUE, the cumulant generating function is returned.

Details

The kth raw moment of the random variable X is E[X k ], the kth limited moment at some limit d
is E[min(X, d)k ] and the moment generating function is E[etX ], k > −1.

Value

mexp gives the kth raw moment, levexp gives the kth moment of the limited loss variable, and
mgfexp gives the moment generating function in t.
Invalid arguments will result in return value NaN, with a warning.

Author(s)

Vincent Goulet <[email protected]>, Christophe Dutang and Mathieu Pigeon.

References

Johnson, N. L. and Kotz, S. (1970), Continuous Univariate Distributions, Volume 1, Wiley.

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also

Exponential

Examples

mexp(2, 3) - mexp(1, 3)^2

levexp(10, 3, order = 2)
mgfexp(1,2)
Extract.grouped.data 35

Extract.grouped.data Extract or Replace Parts of a Grouped Data Object

Description
Extract or replace subsets of grouped data objects.

Usage
## S3 method for class 'grouped.data'
x[i, j]
## S3 replacement method for class 'grouped.data'
x[i, j] <- value

Arguments
x an object of class grouped.data.
i, j elements to extract or replace. i,j are numeric or character or, for [ only,
empty. Numeric values are coerced to integer as if by as.integer. For re-
placement by [, a logical matrix is allowed, but not replacement in the group
boundaries and group frequencies simultaneously.
value a suitable replacement value.

Details
Objects of class "grouped.data" can mostly be indexed like data frames, with the following re-
strictions:

1. For [, the extracted object must keep a group boundaries column and at least one group fre-
quencies column to remain of class "grouped.data";
2. For [<-, it is not possible to replace group boundaries and group frequencies simultaneously;
3. When replacing group boundaries, length(value) == length(i) + 1.

x[,1] will return the plain vector of group boundaries.

Replacement of non adjacent group boundaries is not possible for obvious reasons.
Otherwise, extraction and replacement should work just like for data frames.

Value
For [ an object of class "grouped.data", a data frame or a vector.
For [<- an object of class "grouped.data".

Note
Currently [[, [[<-, $ and $<- are not specifically supported, but should work as usual on group
frequency columns.
36 FellerPareto

Author(s)
Vincent Goulet <[email protected]>

See Also
[.data.frame for extraction and replacement methods of data frames, grouped.data to create
grouped data objects.

Examples
data(gdental)

(x <- gdental[1]) # select column 1

class(x) # no longer a grouped.data object
class(gdental[2]) # same
gdental[, 1] # group boundaries
gdental[, 2] # group frequencies

gdental[1:4,] # a subset
gdental[c(1, 3, 5),] # avoid this

gdental[1:2, 1] <- c(0, 30, 60) # modified boundaries

gdental[, 2] <- 10 # modified frequencies
## Not run: gdental[1, ] <- 2 # not allowed

FellerPareto The Feller Pareto Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Feller Pareto distribution with parameters min, shape1, shape2, shape3
and scale.

Usage
dfpareto(x, min, shape1, shape2, shape3, rate = 1, scale = 1/rate,
log = FALSE)
pfpareto(q, min, shape1, shape2, shape3, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qfpareto(p, min, shape1, shape2, shape3, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rfpareto(n, min, shape1, shape2, shape3, rate = 1, scale = 1/rate)
mfpareto(order, min, shape1, shape2, shape3, rate = 1, scale = 1/rate)
levfpareto(limit, min, shape1, shape2, shape3, rate = 1, scale = 1/rate,
order = 1)
FellerPareto 37

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
min lower bound of the support of the distribution.
shape1, shape2, shape3, scale
parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.

Details
The Feller-Pareto distribution with parameters min = µ, shape1 = α, shape2 = γ, shape3 = τ
and scale = θ, has density:

Γ(α + τ ) γ((x − µ)/θ)γτ −1

f (x) =
Γ(α)Γ(τ ) θ[1 + ((x − µ)/θ)γ ]α+τ

for x > µ, −∞ < µ < ∞, α > 0, γ > 0, τ > 0 and θ > 0. (Here Γ(α) is the function
implemented by R’s gamma() and defined in its help.)
The Feller-Pareto is the distribution of the random variable
 1/γ
1−X
µ+θ ,
X

where X has a beta distribution with parameters α and τ .

The Feller-Pareto defines a large family of distributions encompassing the transformed beta family
and many variants of the Pareto distribution. Setting µ = 0 yields the transformed beta distribution.
The Feller-Pareto distribution also has the following direct special cases:

• A Pareto IV distribution when shape3 == 1;

• A Pareto III distribution when shape1 shape3 == 1;
• A Pareto II distribution when shape1 shape2 == 1;
• A Pareto I distribution when shape1 shape2 == 1 and min = scale.

The kth raw moment of the random variable X is E[X k ] for nonnegative integer values of k < αγ.
The kth limited moment at some limit d is E[min(X, d)k ] for nonnegative integer values of k and
α − j/γ, j = 1, . . . , k not a negative integer.
Note that the range of admissible values for k in raw and limited moments is larger when µ = 0.
38 FellerPareto

Value
dfpareto gives the density, pfpareto gives the distribution function, qfpareto gives the quan-
tile function, rfpareto generates random deviates, mfpareto gives the kth raw moment, and
levfpareto gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note
levfpareto computes the limited expected value using betaint.
For the Feller-Pareto and other Pareto distributions, we use the classification of Arnold (2015) with
the parametrization of Klugman et al. (2012).
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Nicholas Langevin

References
Arnold, B.C. (2015), Pareto Distributions, Second Edition, CRC Press.
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.
Abramowitz, M. and Stegun, I. A. (1972), Handbook of Mathematical Functions, Dover.

See Also
dtrbeta for the transformed beta distribution.

Examples
exp(dfpareto(2, 1, 2, 3, 4, 5, log = TRUE))
p <- (1:10)/10
pfpareto(qfpareto(p, 1, 2, 3, 4, 5), 1, 2, 3, 4, 5)

## variance
mfpareto(2, 1, 2, 3, 4, 5) - mfpareto(1, 1, 2, 3, 4, 5)^2

## case with shape1 - order/shape2 > 0

levfpareto(10, 1, 2, 3, 4, scale = 1, order = 2)

## case with shape1 - order/shape2 < 0

levfpareto(20, 10, 0.1, 14, 2, scale = 1.5, order = 2)
GammaSupp 39

GammaSupp Moments and Moment Generating Function of the Gamma Distribu-

tion

Description
Raw moments, limited moments and moment generating function for the Gamma distribution with
parameters shape and scale.

Usage
mgamma(order, shape, rate = 1, scale = 1/rate)
levgamma(limit, shape, rate = 1, scale = 1/rate, order = 1)
mgfgamma(t, shape, rate = 1, scale = 1/rate, log = FALSE)

Arguments
order order of the moment.
limit limit of the loss variable.
rate an alternative way to specify the scale.
shape, scale shape and scale parameters. Must be strictly positive.
t numeric vector.
log logical; if TRUE, the cumulant generating function is returned.

Details
The kth raw moment of the random variable X is E[X k ], the kth limited moment at some limit d
is E[min(X, d)k ] and the moment generating function is E[etX ], k > −α.

Value
mgamma gives the kth raw moment, levgamma gives the kth moment of the limited loss variable, and
mgfgamma gives the moment generating function in t.
Invalid arguments will result in return value NaN, with a warning.

Author(s)
Vincent Goulet <[email protected]>, Christophe Dutang and Mathieu Pigeon

References
Johnson, N. L. and Kotz, S. (1970), Continuous Univariate Distributions, Volume 1, Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.
40 GeneralizedBeta

See Also
GammaDist

Examples
mgamma(2, 3, 4) - mgamma(1, 3, 4)^2
levgamma(10, 3, 4, order = 2)
mgfgamma(1,3,2)

gdental Grouped Dental Claims Data Set

Description
Grouped dental claims, that is presented in a number of claims per claim amount group form.

Usage
gdental

Format
An object of class "grouped.data" (inheriting from class "data.frame") consisting of 10 rows
and 2 columns. The environment of the object contains the plain vector of cj of group boundaries

Source
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (1998), Loss Models, From Data to Decisions,
Wiley.

See Also
grouped.data for a description of grouped data objects.

GeneralizedBeta The Generalized Beta Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Generalized Beta distribution with parameters shape1, shape2, shape3
and scale.
GeneralizedBeta 41

Usage

dgenbeta(x, shape1, shape2, shape3, rate = 1, scale = 1/rate,

log = FALSE)
pgenbeta(q, shape1, shape2, shape3, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qgenbeta(p, shape1, shape2, shape3, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rgenbeta(n, shape1, shape2, shape3, rate = 1, scale = 1/rate)
mgenbeta(order, shape1, shape2, shape3, rate = 1, scale = 1/rate)
levgenbeta(limit, shape1, shape2, shape3, rate = 1, scale = 1/rate,
order = 1)

Arguments

x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shape1, shape2, shape3, scale
parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.

Details

The generalized beta distribution with parameters shape1 = α, shape2 = β, shape3 = τ and
scale = θ, has density:

Γ(α + β) τ
f (x) = (x/θ)ατ (1 − (x/θ)τ )β−1
Γ(α)Γ(β) x

for 0 < x < θ, α > 0, β > 0, τ > 0 and θ > 0. (Here Γ(α) is the function implemented by R’s
gamma() and defined in its help.)
The generalized beta is the distribution of the random variable

θX 1/τ ,

where X has a beta distribution with parameters α and β.

The kth raw moment of the random variable X is E[X k ] and the kth limited moment at some limit
d is E[min(X, d)], k > −ατ .
42 GeneralizedPareto

Value

dgenbeta gives the density, pgenbeta gives the distribution function, qgenbeta gives the quan-
tile function, rgenbeta generates random deviates, mgenbeta gives the kth raw moment, and
levgenbeta gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note

This is not the generalized three-parameter beta distribution defined on page 251 of Johnson et al,
1995.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)

Vincent Goulet <[email protected]>

References

Johnson, N. L., Kotz, S. and Balakrishnan, N. (1995) Continuous Univariate Distributions, Volume
2, Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

Examples

exp(dgenbeta(2, 2, 3, 4, 0.2, log = TRUE))

p <- (1:10)/10
pgenbeta(qgenbeta(p, 2, 3, 4, 0.2), 2, 3, 4, 0.2)
mgenbeta(2, 1, 2, 3, 0.25) - mgenbeta(1, 1, 2, 3, 0.25) ^ 2
levgenbeta(10, 1, 2, 3, 0.25, order = 2)

GeneralizedPareto The Generalized Pareto Distribution

Description

Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Generalized Pareto distribution with parameters shape1, shape2 and
scale.
GeneralizedPareto 43

Usage
dgenpareto(x, shape1, shape2, rate = 1, scale = 1/rate,
log = FALSE)
pgenpareto(q, shape1, shape2, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qgenpareto(p, shape1, shape2, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rgenpareto(n, shape1, shape2, rate = 1, scale = 1/rate)
mgenpareto(order, shape1, shape2, rate = 1, scale = 1/rate)
levgenpareto(limit, shape1, shape2, rate = 1, scale = 1/rate,
order = 1)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shape1, shape2, scale
parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.

Details
The Generalized Pareto distribution with parameters shape1 = α, shape2 = τ and scale = θ has
density:
Γ(α + τ ) θα xτ −1
f (x) =
Γ(α)Γ(τ ) (x + θ)α+τ
for x > 0, α > 0, τ > 0 and θ > 0. (Here Γ(α) is the function implemented by R’s gamma() and
defined in its help.)
The Generalized Pareto is the distribution of the random variable
 
X
θ ,
1−X
where X has a beta distribution with parameters α and τ .
The Generalized Pareto distribution has the following special cases:
• A Pareto distribution when shape2 == 1;
• An Inverse Pareto distribution when shape1 == 1.
The kth raw moment of the random variable X is E[X k ], −τ < k < α.
The kth limited moment at some limit d is E[min(X, d)k ], k > −τ and α−k not a negative integer.
44 GeneralizedPareto

Value
dgenpareto gives the density, pgenpareto gives the distribution function, qgenpareto gives the
quantile function, rgenpareto generates random deviates, mgenpareto gives the kth raw moment,
and levgenpareto gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note
levgenpareto computes the limited expected value using betaint.
Distribution also known as the Beta of the Second Kind. See also Kleiber and Kotz (2003) for
alternative names and parametrizations.
The Generalized Pareto distribution defined here is different from the one in Embrechts et al. (1997)
and in Wikipedia; see also Kleiber and Kotz (2003, section 3.12). One may most likely compute
quantities for the latter using functions for the Pareto distribution with the appropriate change of
parametrization.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Embrechts, P., Klüppelberg, C. and Mikisch, T. (1997), Modelling Extremal Events for Insurance
and Finance, Springer.
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

Examples
exp(dgenpareto(3, 3, 4, 4, log = TRUE))
p <- (1:10)/10
pgenpareto(qgenpareto(p, 3, 3, 1), 3, 3, 1)
qgenpareto(.3, 3, 4, 4, lower.tail = FALSE)

## variance
mgenpareto(2, 3, 2, 1) - mgenpareto(1, 3, 2, 1)^2

## case with shape1 - order > 0

levgenpareto(10, 3, 3, scale = 1, order = 2)

## case with shape1 - order < 0

levgenpareto(10, 1.5, 3, scale = 1, order = 2)
grouped.data 45

grouped.data Grouped data

Description
Creation of grouped data objects, from either a provided set of group boundaries and group fre-
quencies, or from individual data using automatic or specified breakpoints.

Usage
grouped.data(..., breaks = "Sturges", include.lowest = TRUE,
right = TRUE, nclass = NULL, group = FALSE,
row.names = NULL, check.rows = FALSE,
check.names = TRUE)

Arguments
... these arguments are either of the form value or tag = value. See Details.
breaks same as for hist, namely one of:
• a vector giving the breakpoints between groups;
• a function to compute the vector of breakpoints;
• a single number giving the number of groups;
• a character string naming an algorithm to compute the number of groups
(see hist);
• a function to compute the number of groups.
In the last three cases the number is a suggestion only; the breakpoints will be
set to pretty values. If breaks is a function, the first element in ... is supplied
to it as the only argument.
include.lowest logical; if TRUE, a data point equal to the breaks value will be included in the
first (or last, for right = FALSE) group. Used only for individual data; see De-
tails.
right logical; indicating if the intervals should be closed on the right (and open on the
left) or vice versa.
nclass numeric (integer); equivalent to breaks for a scalar or character argument.
group logical; an alternative way to force grouping of individual data.
row.names, check.rows, check.names
arguments identical to those of data.frame.

Details
A grouped data object is a special form of data frame consisting of one column of contiguous group
boundaries and one or more columns of frequencies within each group.
The function can create a grouped data object from two types of arguments.
46 grouped.data

1. Group boundaries and frequencies. This is the default mode of operation if the call has at least
two elements in ....
The first argument will then be taken as the vector of group boundaries. This vector must be
exactly one element longer than the other arguments, which will be taken as vectors of group
frequencies. All arguments are coerced to data frames.
2. Individual data. This mode of operation is active if there is a single argument in ..., or if
either breaks or nclass is specified or group is TRUE.
Arguments of ... are first grouped using hist. If needed, breakpoints are set using the first
argument.

Missing (NA) frequencies are replaced by zeros, with a warning.

Extraction and replacement methods exist for grouped.data objects, but working on non adjacent
groups will most likely yield useless results.

Value
An object of class c("grouped.data","data.frame") with an environment containing the vec-
tor cj of group boundaries.

Author(s)
Vincent Goulet <[email protected]>, Mathieu Pigeon and Louis-Philippe Pouliot

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (1998), Loss Models, From Data to Decisions,
Wiley.

See Also
[.grouped.data for extraction and replacement methods.
data.frame for usual data frame creation and manipulation.
hist for details on the calculation of breakpoints.

Examples
## Most common usage using a predetermined set of group
## boundaries and group frequencies.
cj <- c(0, 25, 50, 100, 250, 500, 1000)
nj <- c(30, 31, 57, 42, 45, 10)
(x <- grouped.data(Group = cj, Frequency = nj))
class(x)

x[, 1] # group boundaries

x[, 2] # group frequencies

## Multiple frequency columns are supported

x <- sample(1:100, 9)
y <- sample(1:100, 9)
Gumbel 47

grouped.data(cj = 1:10, nj.1 = x, nj.2 = y)

## Alternative usage with grouping of individual data.

grouped.data(x) # automatic breakpoints
grouped.data(x, breaks = 7) # forced number of groups
grouped.data(x, breaks = c(0,25,75,100)) # specified groups
grouped.data(x, y, breaks = c(0,25,75,100)) # multiple data sets

## Not run: ## Providing two or more data sets and automatic breakpoints is
## very error-prone since the range of the first data set has to
## include the ranges of all the other data sets.
range(x)
range(y)
grouped.data(x, y, group = TRUE)
## End(Not run)

Gumbel The Gumbel Distribution

Description
Density function, distribution function, quantile function, random generation and raw moments for
the Gumbel extreme value distribution with parameters alpha and scale.

Usage
dgumbel(x, alpha, scale, log = FALSE)
pgumbel(q, alpha, scale, lower.tail = TRUE, log.p = FALSE)
qgumbel(p, alpha, scale, lower.tail = TRUE, log.p = FALSE)
rgumbel(n, alpha, scale)
mgumbel(order, alpha, scale)
mgfgumbel(t, alpha, scale, log = FALSE)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
alpha location parameter.
scale parameter. Must be strictly positive.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment. Only values 1 and 2 are supported.
t numeric vector.
48 Gumbel

Details
The Gumbel distribution with parameters alpha = α and scale = θ has distribution function:

F (x) = exp[− exp(−(x − α)/θ)]

for −∞ < x < ∞, −∞ < a < ∞ and θ > 0.

The mode of the distribution is in α, the mean is α + γθ, where γ = 0.57721566 is the Euler-
Mascheroni constant, and the variance is π 2 θ2 /6.

Value
dgumbel gives the density, pgumbel gives the distribution function, qgumbel gives the quantile
function, rgumbel generates random deviates, mgumbel gives the kth raw moment, k = 1, 2, and
mgfgamma gives the moment generating function in t.
Invalid arguments will result in return value NaN, with a warning.

Note
Distribution also knonw as the generalized extreme value distribution Type-I.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]>

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

Examples
dgumbel(c(-5, 0, 10, 20), 0.5, 2)

p <- (1:10)/10
pgumbel(qgumbel(p, 2, 3), 2, 3)

curve(pgumbel(x, 0.5, 2), from = -5, to = 20, col = "red")

curve(pgumbel(x, 1.0, 2), add = TRUE, col = "green")
curve(pgumbel(x, 1.5, 3), add = TRUE, col = "blue")
curve(pgumbel(x, 3.0, 4), add = TRUE, col = "cyan")

a <- 3; s <- 4
mgumbel(1, a, s) # mean
a - s * digamma(1) # same

mgumbel(2, a, s) - mgumbel(1, a, s)^2 # variance

(pi * s)^2/6 # same
hachemeister 49

hachemeister Hachemeister Data Set

Description
Hachemeister (1975) data set giving average claim amounts in private passenger bodily injury in-
surance in five U.S. states over 12 quarters between July 1970 and June 1973 and the corresponding
number of claims.

Usage
hachemeister

Format
A matrix with 5 rows and the following 25 columns:

state the state number;

ratio.1, . . . , ratio.12 the average claim amounts;
weight.1, . . . , weight.12 the corresponding number of claims.

Source
Hachemeister, C. A. (1975), Credibility for regression models with application to trend, Proceedings
of the Berkeley Actuarial Research Conference on Credibility, Academic Press.

hist.grouped.data Histogram for Grouped Data

Description
This method for the generic function hist is mainly useful to plot the histogram of grouped
data. If plot = FALSE, the resulting object of class "histogram" is returned for compatibility with
hist.default, but does not contain much information not already in x.

Usage
## S3 method for class 'grouped.data'
hist(x, freq = NULL, probability = !freq,
density = NULL, angle = 45, col = NULL, border = NULL,
main = paste("Histogram of" , xname),
xlim = range(cj), ylim = NULL, xlab = xname, ylab,
axes = TRUE, plot = TRUE, labels = FALSE, ...)
50 hist.grouped.data

Arguments
x an object of class "grouped.data"; only the first column of frequencies is used.
freq logical; if TRUE, the histogram graphic is a representation of frequencies, the
counts component of the result; if FALSE, probability densities, component
density, are plotted (so that the histogram has a total area of one). Defaults to
TRUE iff group boundaries are equidistant (and probability is not specified).
probability an alias for !freq, for S compatibility.
density the density of shading lines, in lines per inch. The default value of NULL means
that no shading lines are drawn. Non-positive values of density also inhibit the
drawing of shading lines.
angle the slope of shading lines, given as an angle in degrees (counter-clockwise).
col a colour to be used to fill the bars. The default of NULL yields unfilled bars.
border the color of the border around the bars. The default is to use the standard fore-
ground color.
main, xlab, ylab
these arguments to title have useful defaults here.
xlim, ylim the range of x and y values with sensible defaults. Note that xlim is not used to
define the histogram (breaks), but only for plotting (when plot = TRUE).
axes logical. If TRUE (default), axes are draw if the plot is drawn.
plot logical. If TRUE (default), a histogram is plotted, otherwise a list of breaks and
counts is returned.
labels logical or character. Additionally draw labels on top of bars, if not FALSE; see
plot.histogram.
... further graphical parameters passed to plot.histogram and their to title and
axis (if plot=TRUE).

Value
An object of class "histogram" which is a list with components:

breaks the r + 1 group boundaries.

counts r integers; the frequency within each group.
density the relative frequencies within each group nj /n, where nj = counts[j].
intensities same as density. Deprecated, but retained for compatibility.
mids the r group midpoints.
xname a character string with the actual x argument name.
equidist logical, indicating if the distances between breaks are all the same.

Note
The resulting value does not depend on the values of the arguments freq (or probability) or plot.
This is intentionally different from S.
InverseBurr 51

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (1998), Loss Models, From Data to Decisions,
Wiley.

See Also
hist and hist.default for histograms of individual data and fancy examples.

Examples
data(gdental)
hist(gdental)

InverseBurr The Inverse Burr Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Inverse Burr distribution with parameters shape1, shape2 and scale.

Usage
dinvburr(x, shape1, shape2, rate = 1, scale = 1/rate,
log = FALSE)
pinvburr(q, shape1, shape2, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qinvburr(p, shape1, shape2, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rinvburr(n, shape1, shape2, rate = 1, scale = 1/rate)
minvburr(order, shape1, shape2, rate = 1, scale = 1/rate)
levinvburr(limit, shape1, shape2, rate = 1, scale = 1/rate,
order = 1)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shape1, shape2, scale
parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.
52 InverseBurr

Details
The inverse Burr distribution with parameters shape1 = τ , shape2 = γ and scale = θ, has density:

τ γ(x/θ)γτ
f (x) =
x[1 + (x/θ)γ ]τ +1
for x > 0, τ > 0, γ > 0 and θ > 0.
The inverse Burr is the distribution of the random variable
 1/γ
X
θ ,
1−X
where X has a beta distribution with parameters τ and 1.
The inverse Burr distribution has the following special cases:
• A Loglogistic distribution when shape1 == 1;
• An Inverse Pareto distribution when shape2 == 1;
• An Inverse Paralogistic distribution when shape1 == shape2.
The kth raw moment of the random variable X is E[X k ], −τ γ < k < γ.
The kth limited moment at some limit d is E[min(X, d)k ], k > −τ γ and 1 − k/γ not a negative
integer.

Value
dinvburr gives the density, invburr gives the distribution function, qinvburr gives the quan-
tile function, rinvburr generates random deviates, minvburr gives the kth raw moment, and
levinvburr gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note
levinvburr computes the limited expected value using betaint.
Also known as the Dagum distribution. See also Kleiber and Kotz (2003) for alternative names and
parametrizations.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.
InverseExponential 53

Examples
exp(dinvburr(2, 2, 3, 1, log = TRUE))
p <- (1:10)/10
pinvburr(qinvburr(p, 2, 3, 1), 2, 3, 1)

## variance
minvburr(2, 2, 3, 1) - minvburr(1, 2, 3, 1) ^ 2

## case with 1 - order/shape2 > 0

levinvburr(10, 2, 3, 1, order = 2)

## case with 1 - order/shape2 < 0

levinvburr(10, 2, 1.5, 1, order = 2)

InverseExponential The Inverse Exponential Distribution

Description
Density function, distribution function, quantile function, random generation raw moments and
limited moments for the Inverse Exponential distribution with parameter scale.

Usage
dinvexp(x, rate = 1, scale = 1/rate, log = FALSE)
pinvexp(q, rate = 1, scale = 1/rate, lower.tail = TRUE, log.p = FALSE)
qinvexp(p, rate = 1, scale = 1/rate, lower.tail = TRUE, log.p = FALSE)
rinvexp(n, rate = 1, scale = 1/rate)
minvexp(order, rate = 1, scale = 1/rate)
levinvexp(limit, rate = 1, scale = 1/rate, order)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
scale parameter. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.
54 InverseGamma

Details
The inverse exponential distribution with parameter scale = θ has density:

θe−θ/x
f (x) =
x2
for x > 0 and θ > 0.
The kth raw moment of the random variable X is E[X k ], k < 1, and the kth limited moment at
some limit d is E[min(X, d)k ], all k.

Value
dinvexp gives the density, pinvexp gives the distribution function, qinvexp gives the quantile
function, rinvexp generates random deviates, minvexp gives the kth raw moment, and levinvexp
calculates the kth limited moment.
Invalid arguments will result in return value NaN, with a warning.

Note
levinvexp computes the limited expected value using gammainc from package expint.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

Examples
exp(dinvexp(2, 2, log = TRUE))
p <- (1:10)/10
pinvexp(qinvexp(p, 2), 2)
minvexp(0.5, 2)

InverseGamma The Inverse Gamma Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments, and
limited moments for the Inverse Gamma distribution with parameters shape and scale.
InverseGamma 55

Usage
dinvgamma(x, shape, rate = 1, scale = 1/rate, log = FALSE)
pinvgamma(q, shape, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qinvgamma(p, shape, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rinvgamma(n, shape, rate = 1, scale = 1/rate)
minvgamma(order, shape, rate = 1, scale = 1/rate)
levinvgamma(limit, shape, rate = 1, scale = 1/rate,
order = 1)
mgfinvgamma(t, shape, rate =1, scale = 1/rate, log =FALSE)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shape, scale parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.
t numeric vector.

Details
The inverse gamma distribution with parameters shape = α and scale = θ has density:
uα e−u
f (x) = , u = θ/x
xΓ(α)
for x > 0, α > 0 and θ > 0. (Here Γ(α) is the function implemented by R’s gamma() and defined
in its help.)
The special case shape == 1 is an Inverse Exponential distribution.
The kth raw moment of the random variable X is E[X k ], k < α, and the kth limited moment at
some limit d is E[min(X, d)k ], all k.
The moment generating function is given by E[etX ].

Value
dinvgamma gives the density, pinvgamma gives the distribution function, qinvgamma gives the
quantile function, rinvgamma generates random deviates, minvgamma gives the kth raw moment,
levinvgamma gives the kth moment of the limited loss variable, and mgfinvgamma gives the mo-
ment generating function in t.
Invalid arguments will result in return value NaN, with a warning.
56 InverseGaussian

Note
levinvgamma computes the limited expected value using gammainc from package expint.
Also known as the Vinci distribution. See also Kleiber and Kotz (2003) for alternative names and
parametrizations.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

Examples
exp(dinvgamma(2, 3, 4, log = TRUE))
p <- (1:10)/10
pinvgamma(qinvgamma(p, 2, 3), 2, 3)
minvgamma(-1, 2, 2) ^ 2
levinvgamma(10, 2, 2, order = 1)
mgfinvgamma(-1, 3, 2)

InverseGaussian The Inverse Gaussian Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments, limited
moments and moment generating function for the Inverse Gaussian distribution with parameters
mean and shape.

Usage
dinvgauss(x, mean, shape = 1, dispersion = 1/shape,
log = FALSE)
pinvgauss(q, mean, shape = 1, dispersion = 1/shape,
lower.tail = TRUE, log.p = FALSE)
qinvgauss(p, mean, shape = 1, dispersion = 1/shape,
lower.tail = TRUE, log.p = FALSE,
tol = 1e-14, maxit = 100, echo = FALSE, trace = echo)
rinvgauss(n, mean, shape = 1, dispersion = 1/shape)
minvgauss(order, mean, shape = 1, dispersion = 1/shape)
InverseGaussian 57

levinvgauss(limit, mean, shape = 1, dispersion = 1/shape, order = 1)

mgfinvgauss(t, mean, shape = 1, dispersion = 1/shape, log = FALSE)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
mean, shape parameters. Must be strictly positive. Infinite values are supported.
dispersion an alternative way to specify the shape.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment. Only order = 1 is supported by levinvgauss.
limit limit of the loss variable.
tol small positive value. Tolerance to assess convergence in the Newton computa-
tion of quantiles.
maxit positive integer; maximum number of recursions in the Newton computation of
quantiles.
echo, trace logical; echo the recursions to screen in the Newton computation of quantiles.
t numeric vector.

Details
The inverse Gaussian distribution with parameters mean = µ and dispersion = φ has density:
1/2
(x − µ)2
  
1
f (x) = exp − ,
2πφx3 2µ2 φx
for x ≥ 0, µ > 0 and φ > 0.
The limiting case µ = ∞ is an inverse chi-squared distribution (or inverse gamma with shape
= 1/2 and rate = 2phi). This distribution has no finite strictly positive, integer moments.
The limiting case φ = 0 is an infinite spike in x = 0.
If the random variable X is IG(µ, φ), then X/µ is IG(1, φµ).
The kth raw moment of the random variable X is E[X k ], k = 1, 2, . . ., the limited expected value
at some limit d is E[min(X, d)] and the moment generating function is E[etX ].
The moment generating function of the inverse guassian is defined for t <= 1/(2 * mean^2 * phi).

Value
dinvgauss gives the density, pinvgauss gives the distribution function, qinvgauss gives the
quantile function, rinvgauss generates random deviates, minvgauss gives the kth raw moment,
levinvgauss gives the limited expected value, and mgfinvgauss gives the moment generating
function in t.
Invalid arguments will result in return value NaN, with a warning.
58 InverseGaussian

Note
Functions dinvgauss, pinvgauss and qinvgauss are C implementations of functions of the same
name in package statmod; see Giner and Smyth (2016).
Devroye (1986, chapter 4) provides a nice presentation of the algorithm to generate random variates
from an inverse Gaussian distribution.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]>

References
Giner, G. and Smyth, G. K. (2016), “statmod: Probability Calculations for the Inverse Gaussian
Distribution”, R Journal, vol. 8, no 1, p. 339-351. https://journal.r-project.org/archive/
2016-1/giner-smyth.pdf
Chhikara, R. S. and Folk, T. L. (1989), The Inverse Gaussian Distribution: Theory, Methodology
and Applications, Decker.
Devroye, L. (1986), Non-Uniform Random Variate Generation, Springer-Verlag. http://luc.
devroye.org/rnbookindex.html

See Also
dinvgamma for the inverse gamma distribution.

Examples
dinvgauss(c(-1, 0, 1, 2, Inf), mean = 1.5, dis = 0.7)
dinvgauss(c(-1, 0, 1, 2, Inf), mean = Inf, dis = 0.7)
dinvgauss(c(-1, 0, 1, 2, Inf), mean = 1.5, dis = Inf) # spike at zero

## Typical graphical representations of the inverse Gaussian

## distribution. First fixed mean and varying shape; second
## varying mean and fixed shape.
col = c("red", "blue", "green", "cyan", "yellow", "black")
par = c(0.125, 0.5, 1, 2, 8, 32)
curve(dinvgauss(x, 1, par[1]), from = 0, to = 2, col = col[1])
for (i in 2:6)
curve(dinvgauss(x, 1, par[i]), add = TRUE, col = col[i])

curve(dinvgauss(x, par[1], 1), from = 0, to = 2, col = col[1])

for (i in 2:6)
curve(dinvgauss(x, par[i], 1), add = TRUE, col = col[i])

pinvgauss(qinvgauss((1:10)/10, 1.5, shape = 2), 1.5, 2)

minvgauss(1:4, 1.5, 2)

levinvgauss(c(0, 0.5, 1, 1.2, 10, Inf), 1.5, 2)

InverseParalogistic 59

InverseParalogistic The Inverse Paralogistic Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Inverse Paralogistic distribution with parameters shape and scale.

Usage
dinvparalogis(x, shape, rate = 1, scale = 1/rate, log = FALSE)
pinvparalogis(q, shape, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qinvparalogis(p, shape, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rinvparalogis(n, shape, rate = 1, scale = 1/rate)
minvparalogis(order, shape, rate = 1, scale = 1/rate)
levinvparalogis(limit, shape, rate = 1, scale = 1/rate,
order = 1)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shape, scale parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.

Details
The inverse paralogistic distribution with parameters shape = τ and scale = θ has density:
2
τ 2 (x/θ)τ
f (x) =
x[1 + (x/θ)τ ]τ +1

for x > 0, τ > 0 and θ > 0.

The kth raw moment of the random variable X is E[X k ], −τ 2 < k < τ .
The kth limited moment at some limit d is E[min(X, d)k ], k > −τ 2 and 1 − k/τ not a negative
integer.
60 InversePareto

Value
dinvparalogis gives the density, pinvparalogis gives the distribution function, qinvparalogis
gives the quantile function, rinvparalogis generates random deviates, minvparalogis gives the
kth raw moment, and levinvparalogis gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note
levinvparalogis computes computes the limited expected value using betaint.
See Kleiber and Kotz (2003) for alternative names and parametrizations.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

Examples
exp(dinvparalogis(2, 3, 4, log = TRUE))
p <- (1:10)/10
pinvparalogis(qinvparalogis(p, 2, 3), 2, 3)

## first negative moment

minvparalogis(-1, 2, 2)

## case with 1 - order/shape > 0

levinvparalogis(10, 2, 2, order = 1)

## case with 1 - order/shape < 0

levinvparalogis(10, 2/3, 2, order = 1)

InversePareto The Inverse Pareto Distribution

Description
Density function, distribution function, quantile function, random generation raw moments and
limited moments for the Inverse Pareto distribution with parameters shape and scale.
InversePareto 61

Usage
dinvpareto(x, shape, scale, log = FALSE)
pinvpareto(q, shape, scale, lower.tail = TRUE, log.p = FALSE)
qinvpareto(p, shape, scale, lower.tail = TRUE, log.p = FALSE)
rinvpareto(n, shape, scale)
minvpareto(order, shape, scale)
levinvpareto(limit, shape, scale, order = 1)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shape, scale parameters. Must be strictly positive.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.

Details
The inverse Pareto distribution with parameters shape = τ and scale = θ has density:
τ θxτ −1
f (x) =
(x + θ)τ +1
for x > 0, τ > 0 and θ > 0.
The kth raw moment of the random variable X is E[X k ], −τ < k < 1.
The kth limited moment at some limit d is E[min(X, d)k ], k > −τ .

Value
dinvpareto gives the density, pinvpareto gives the distribution function, qinvpareto gives the
quantile function, rinvpareto generates random deviates, minvpareto gives the kth raw moment,
and levinvpareto calculates the kth limited moment.
Invalid arguments will result in return value NaN, with a warning.

Note
Evaluation of levinvpareto is done using numerical integration.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon
62 InverseTransformedGamma

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

Examples
exp(dinvpareto(2, 3, 4, log = TRUE))
p <- (1:10)/10
pinvpareto(qinvpareto(p, 2, 3), 2, 3)
minvpareto(0.5, 1, 2)

InverseTransformedGamma
The Inverse Transformed Gamma Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments, and
limited moments for the Inverse Transformed Gamma distribution with parameters shape1, shape2
and scale.

Usage
dinvtrgamma(x, shape1, shape2, rate = 1, scale = 1/rate,
log = FALSE)
pinvtrgamma(q, shape1, shape2, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qinvtrgamma(p, shape1, shape2, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rinvtrgamma(n, shape1, shape2, rate = 1, scale = 1/rate)
minvtrgamma(order, shape1, shape2, rate = 1, scale = 1/rate)
levinvtrgamma(limit, shape1, shape2, rate = 1, scale = 1/rate,
order = 1)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shape1, shape2, scale
parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.
InverseTransformedGamma 63

Details
The inverse transformed gamma distribution with parameters shape1 = α, shape2 = τ and scale
= θ, has density:
τ uα e−u
f (x) = , u = (θ/x)τ
xΓ(α)
for x > 0, α > 0, τ > 0 and θ > 0. (Here Γ(α) is the function implemented by R’s gamma() and
defined in its help.)
The inverse transformed gamma is the distribution of the random variable θX −1/τ , where X has a
gamma distribution with shape parameter α and scale parameter 1 or, equivalently, of the random
variable Y −1/τ with Y a gamma distribution with shape parameter α and scale parameter θ−τ .
The inverse transformed gamma distribution defines a family of distributions with the following
special cases:

• An Inverse Gamma distribution when shape2 == 1;

• An Inverse Weibull distribution when shape1 == 1;
• An Inverse Exponential distribution when shape1 == shape2 == 1;

The kth raw moment of the random variable X is E[X k ], k < ατ , and the kth limited moment at
some limit d is E[min(X, d)k ] for all k.

Value
dinvtrgamma gives the density, pinvtrgamma gives the distribution function, qinvtrgamma gives
the quantile function, rinvtrgamma generates random deviates, minvtrgamma gives the kth raw
moment, and levinvtrgamma gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note
levinvtrgamma computes the limited expected value using gammainc from package expint.
Distribution also known as the Inverse Generalized Gamma. See also Kleiber and Kotz (2003) for
alternative names and parametrizations.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.
64 InverseWeibull

Examples
exp(dinvtrgamma(2, 3, 4, 5, log = TRUE))
p <- (1:10)/10
pinvtrgamma(qinvtrgamma(p, 2, 3, 4), 2, 3, 4)
minvtrgamma(2, 3, 4, 5)
levinvtrgamma(200, 3, 4, 5, order = 2)

InverseWeibull The Inverse Weibull Distribution

Description

Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Inverse Weibull distribution with parameters shape and scale.

Usage

dinvweibull(x, shape, rate = 1, scale = 1/rate, log = FALSE)

pinvweibull(q, shape, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qinvweibull(p, shape, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rinvweibull(n, shape, rate = 1, scale = 1/rate)
minvweibull(order, shape, rate = 1, scale = 1/rate)
levinvweibull(limit, shape, rate = 1, scale = 1/rate,
order = 1)

Arguments

x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shape, scale parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.
InverseWeibull 65

Details
The inverse Weibull distribution with parameters shape = τ and scale = θ has density:
τ
τ (θ/x)τ e−(θ/x)
f (x) =
x
for x > 0, τ > 0 and θ > 0.
The special case shape == 1 is an Inverse Exponential distribution.
The kth raw moment of the random variable X is E[X k ], k < τ , and the kth limited moment at
some limit d is E[min(X, d)k ], all k.

Value
dinvweibull gives the density, pinvweibull gives the distribution function, qinvweibull gives
the quantile function, rinvweibull generates random deviates, minvweibull gives the kth raw
moment, and levinvweibull gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note
levinvweibull computes the limited expected value using gammainc from package expint.
Distribution also knonw as the log-Gompertz. See also Kleiber and Kotz (2003) for alternative
names and parametrizations.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

Examples
exp(dinvweibull(2, 3, 4, log = TRUE))
p <- (1:10)/10
pinvweibull(qinvweibull(p, 2, 3), 2, 3)
mlgompertz(-1, 3, 3)
levinvweibull(10, 2, 3, order = 1)
66 Logarithmic

Logarithmic The Logarithmic Distribution

Description

Density function, distribution function, quantile function and random generation for the Logarith-
mic (or log-series) distribution with parameter prob.

Usage

dlogarithmic(x, prob, log = FALSE)

plogarithmic(q, prob, lower.tail = TRUE, log.p = FALSE)
qlogarithmic(p, prob, lower.tail = TRUE, log.p = FALSE)
rlogarithmic(n, prob)

Arguments

x vector of (strictly positive integer) quantiles.

q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
prob parameter. 0 <= prob < 1.
log, log.p logical; if TRUE, probabilities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].

Details

The logarithmic (or log-series) distribution with parameter prob = θ has probability mass function

aθx
p(x) = ,
x

with a = −1/ log(1 − θ) and for x = 1, 2, . . ., 0 ≤ θ < 1.

The logarithmic distribution is the limiting case of the zero-truncated negative binomial distribution
with size parameter equal to 0. Note that in this context, parameter prob generally corresponds to
the probability of failure of the zero-truncated negative binomial.
If an element of x is not integer, the result of dlogarithmic is zero, with a warning.
The quantile is defined as the smallest value x such that F (x) ≥ p, where F is the distribution
function.
Logarithmic 67

Value
dlogarithmic gives the probability mass function, plogarithmic gives the distribution function,
qlogarithmic gives the quantile function, and rlogarithmic generates random deviates.
Invalid prob will result in return value NaN, with a warning.
The length of the result is determined by n for rlogarithmic, and is the maximum of the lengths
of the numerical arguments for the other functions.

Note
qlogarithmic is based on qbinom et al.; it uses the Cornish–Fisher Expansion to include a skew-
ness correction to a normal approximation, followed by a search.
rlogarithmic is an implementation of the LS and LK algorithms of Kemp (1981) with automatic
selection. As suggested by Devroye (1986), the LS algorithm is used when prob < 0.95, and the
LK algorithm otherwise.

Author(s)
Vincent Goulet <[email protected]>

References
Johnson, N. L., Kemp, A. W. and Kotz, S. (2005), Univariate Discrete Distributions, Third Edition,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.
Kemp, A. W. (1981), “Efficient Generation of Logarithmically Distributed Pseudo-Random Vari-
ables”, Journal of the Royal Statistical Society, Series C, vol. 30, p. 249-253.
Devroye, L. (1986), Non-Uniform Random Variate Generation, Springer-Verlag. http://luc.
devroye.org/rnbookindex.html

See Also
dztnbinom for the zero-truncated negative binomial distribution.

Examples
## Table 1 of Kemp (1981) [also found in Johnson et al. (2005), chapter 7]
p <- c(0.1, 0.3, 0.5, 0.7, 0.8, 0.85, 0.9, 0.95, 0.99, 0.995, 0.999, 0.9999)
round(rbind(dlogarithmic(1, p),
dlogarithmic(2, p),
plogarithmic(9, p, lower.tail = FALSE),
-p/((1 - p) * log(1 - p))), 2)

qlogarithmic(plogarithmic(1:10, 0.9), 0.9)

x <- rlogarithmic(1000, 0.8)

y <- sort(unique(x))
plot(y, table(x)/length(x), type = "h", lwd = 2,
68 Loggamma

pch = 19, col = "black", xlab = "x", ylab = "p(x)",

main = "Empirical vs theoretical probabilities")
points(y, dlogarithmic(y, prob = 0.8),
pch = 19, col = "red")
legend("topright", c("empirical", "theoretical"),
lty = c(1, NA), pch = c(NA, 19), col = c("black", "red"))

Loggamma The Loggamma Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Loggamma distribution with parameters shapelog and ratelog.

Usage
dlgamma(x, shapelog, ratelog, log = FALSE)
plgamma(q, shapelog, ratelog, lower.tail = TRUE, log.p = FALSE)
qlgamma(p, shapelog, ratelog, lower.tail = TRUE, log.p = FALSE)
rlgamma(n, shapelog, ratelog)
mlgamma(order, shapelog, ratelog)
levlgamma(limit, shapelog, ratelog, order = 1)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shapelog, ratelog
parameters. Must be strictly positive.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.

Details
The loggamma distribution with parameters shapelog = α and ratelog = λ has density:

λα (log x)α−1
f (x) =
Γ(α) xλ+1

for x > 1, α > 0 and λ > 0. (Here Γ(α) is the function implemented by R’s gamma() and defined
in its help.)
Loglogistic 69

The loggamma is the distribution of the random variable eX , where X has a gamma distribution
with shape parameter alpha and scale parameter 1/λ.
The kth raw moment of the random variable X is E[X k ] and the kth limited moment at some limit
d is E[min(X, d)k ], k < λ.

Value

dlgamma gives the density, plgamma gives the distribution function, qlgamma gives the quantile
function, rlgamma generates random deviates, mlgamma gives the kth raw moment, and levlgamma
gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note

The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)

Vincent Goulet <[email protected]> and Mathieu Pigeon

References

Hogg, R. V. and Klugman, S. A. (1984), Loss Distributions, Wiley.

Examples

exp(dlgamma(2, 3, 4, log = TRUE))

p <- (1:10)/10
plgamma(qlgamma(p, 2, 3), 2, 3)
mlgamma(2, 3, 4) - mlgamma(1, 3, 4)^2
levlgamma(10, 3, 4, order = 2)

Loglogistic The Loglogistic Distribution

Description

Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Loglogistic distribution with parameters shape and scale.
70 Loglogistic

Usage

dllogis(x, shape, rate = 1, scale = 1/rate, log = FALSE)

pllogis(q, shape, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qllogis(p, shape, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rllogis(n, shape, rate = 1, scale = 1/rate)
mllogis(order, shape, rate = 1, scale = 1/rate)
levllogis(limit, shape, rate = 1, scale = 1/rate,
order = 1)

Arguments

x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shape, scale parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.

Details

The loglogistic distribution with parameters shape = γ and scale = θ has density:

γ(x/θ)γ
f (x) =
x[1 + (x/θ)γ ]2

for x > 0, γ > 0 and θ > 0.

The kth raw moment of the random variable X is E[X k ], −γ < k < γ.
The kth limited moment at some limit d is E[min(X, d)k ], k > −γ and 1 − k/γ not a negative
integer.

Value

dllogis gives the density, pllogis gives the distribution function, qllogis gives the quantile
function, rllogis generates random deviates, mllogis gives the kth raw moment, and levllogis
gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.
LognormalMoments 71

Note
levllogis computes the limited expected value using betaint.
Also known as the Fisk distribution. See also Kleiber and Kotz (2003) for alternative names and
parametrizations.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
dpareto3 for an equivalent distribution with a location parameter.

Examples
exp(dllogis(2, 3, 4, log = TRUE))
p <- (1:10)/10
pllogis(qllogis(p, 2, 3), 2, 3)

## mean
mllogis(1, 2, 3)

## case with 1 - order/shape > 0

levllogis(10, 2, 3, order = 1)

## case with 1 - order/shape < 0

levllogis(10, 2/3, 3, order = 1)

LognormalMoments Raw and Limited Moments of the Lognormal Distribution

Description
Raw moments and limited moments for the Lognormal distribution whose logarithm has mean equal
to meanlog and standard deviation equal to sdlog.
72 mde

Usage
mlnorm(order, meanlog = 0, sdlog = 1)
levlnorm(limit, meanlog = 0, sdlog = 1, order = 1)

Arguments
order order of the moment.
limit limit of the loss variable.
meanlog, sdlog mean and standard deviation of the distribution on the log scale with default
values of 0 and 1 respectively.

Value
mlnorm gives the kth raw moment and levlnorm gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
Lognormal for details on the lognormal distribution and functions [dpqr]lnorm.

Examples
mlnorm(2, 3, 4) - mlnorm(1, 3, 4)^2
levlnorm(10, 3, 4, order = 2)

mde Minimum Distance Estimation

Description
Minimum distance fitting of univariate distributions, allowing parameters to be held fixed if desired.

Usage
mde(x, fun, start, measure = c("CvM", "chi-square", "LAS"),
weights = NULL, ...)
mde 73

Arguments
x a vector or an object of class "grouped data" (in which case only the first col-
umn of frequencies is used).
fun function returning a cumulative distribution (for measure = "CvM" and measure
= "chi-square") or a limited expected value (for measure = "LAS") evaluated
at its first argument.
start a named list giving the parameters to be optimized with initial values
measure either "CvM" for the Cramer-von Mises method, "chi-square" for the modified
chi-square method, or "LAS" for the layer average severity method.
weights weights; see details.
... Additional parameters, either for fun or for optim. In particular, it can be used
to specify bounds via lower or upper or both. If arguments of fun are included
they will be held fixed.

Details
The Cramer-von Mises method ("CvM") minimizes the squared difference between the theoretical
cdf and the empirical cdf at the data points (for individual data) or the ogive at the knots (for grouped
data).
The modified chi-square method ("chi-square") minimizes the modified chi-square statistic for
grouped data, that is the squared difference between the expected and observed frequency within
each group.
The layer average severity method ("LAS") minimizes the squared difference between the theoretical
and empirical limited expected value within each group for grouped data.
All sum of squares can be weighted. If arguments weights is missing, weights default to 1 for
measure = "CvM" and measure = "LAS"; for measure = "chi-square", weights default to 1/nj ,
where nj is the frequency in group j = 1, . . . , r.
Optimization is performed using optim. For one-dimensional problems the Nelder-Mead method
is used and for multi-dimensional problems the BFGS method, unless arguments named lower or
upper are supplied when L-BFGS-B is used or method is supplied explicitly.

Value
An object of class "mde", a list with two components:

estimate the parameter estimates, and

distance the distance.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (1998), Loss Models, From Data to Decisions,
Wiley.
74 mean.grouped.data

Examples
## Individual data example
data(dental)
mde(dental, pexp, start = list(rate = 1/200), measure = "CvM")

## Example 2.21 of Klugman et al. (1998)

data(gdental)
mde(gdental, pexp, start = list(rate = 1/200), measure = "CvM")
mde(gdental, pexp, start = list(rate = 1/200), measure = "chi-square")
mde(gdental, levexp, start = list(rate = 1/200), measure = "LAS")

## Two-parameter distribution example

try(mde(gdental, ppareto, start = list(shape = 3, scale = 600),
measure = "CvM")) # no convergence

## Working in log scale often solves the problem

pparetolog <- function(x, shape, scale)
ppareto(x, exp(shape), exp(scale))

( p <- mde(gdental, pparetolog, start = list(shape = log(3),

scale = log(600)), measure = "CvM") )
exp(p$estimate)

mean.grouped.data Arithmetic Mean

Description
Mean of grouped data objects.

Usage
## S3 method for class 'grouped.data'
mean(x, ...)

Arguments
x an object of class "grouped.data".
... further arguments passed to or from other methods.

Details
The mean of grouped data with group boundaries c1 , . . . , cr and group frequencies n1 , . . . , nr is
r
X cj−1 + cj
nj .
j=1
2
NormalSupp 75

Value
A named vector of means.

Author(s)
Vincent Goulet <[email protected]>

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (1998), Loss Models, From Data to Decisions,
Wiley.

See Also
grouped.data to create grouped data objects; emm to compute higher moments.

Examples
data(gdental)
mean(gdental)

NormalSupp Moments and Moment generating function of the Normal Distribution

Description
Raw moments and moment generating function for the normal distribution with mean equal to mean
and standard deviation equal to sd.

Usage
mnorm(order, mean = 0, sd = 1)
mgfnorm(t, mean = 0, sd = 1, log = FALSE)

Arguments
order vector of integers; order of the moment.
mean vector of means.
sd vector of standard deviations.
t numeric vector.
log logical; if TRUE, the cumulant generating function is returned.

Details
The kth raw moment of the random variable X is E[X k ] and the moment generating function is
E[etX ].
Only integer moments are supported.
76 ogive

Value
mnorm gives the kth raw moment and mgfnorm gives the moment generating function in t.
Invalid arguments will result in return value NaN, with a warning.

Author(s)
Vincent Goulet <[email protected]>, Christophe Dutang

References
Johnson, N. L. and Kotz, S. (1970), Continuous Univariate Distributions, Volume 1, Wiley.

See Also
Normal

Examples
mgfnorm(0:4,1,2)
mnorm(3)

ogive Ogive for Grouped Data

Description
Compute a smoothed empirical distribution function for grouped data.

Usage
ogive(x, ...)

## Default S3 method:
ogive(x, y = NULL, breaks = "Sturges", nclass = NULL, ...)

## S3 method for class 'grouped.data'

ogive(x, ...)

## S3 method for class 'ogive'

print(x, digits = getOption("digits") - 2, ...)

## S3 method for class 'ogive'

summary(object, ...)

## S3 method for class 'ogive'

knots(Fn, ...)

## S3 method for class 'ogive'

plot(x, main = NULL, xlab = "x", ylab = "F(x)", ...)
ogive 77

Arguments

x for the generic and all but the default method, an object of class "grouped.data";
for the default method, a vector of individual data if y is NULL, a vector of group
boundaries otherwise.
y a vector of group frequencies.
breaks, nclass arguments passed to grouped.data; used only for individual data (when y is
NULL).
digits number of significant digits to use, see print.
Fn, object an R object inheriting from "ogive".
main main title.
xlab, ylab labels of x and y axis.
... arguments to be passed to subsequent methods.

Details

The ogive is a linear interpolation of the empirical cumulative distribution function.

The equation of the ogive is

(cj − x)Fn (cj−1 ) + (x − cj−1 )Fn (cj )

Gn (x) =
cj − cj−1

for cj−1 < x ≤ cj and where c0 , . . . , cr are the r + 1 group boundaries and Fn is the empirical
distribution function of the sample.

Value

For ogive, a function of class "ogive", inheriting from the "function" class.

Author(s)

Vincent Goulet <[email protected]> and Mathieu Pigeon

References

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (1998), Loss Models, From Data to Decisions,
Wiley.

See Also

grouped.data to create grouped data objects; quantile.grouped.data for the inverse function;
approxfun, which is used to compute the ogive; stepfun for related documentation (even though
the ogive is not a step function).
78 Paralogistic

Examples
## Most common usage: create ogive from grouped data object.
Fn <- ogive(gdental)
Fn
summary(Fn)
knots(Fn) # the group boundaries

Fn(knots(Fn)) # true values of the empirical cdf

Fn(c(80, 200, 2000)) # linear interpolations

plot(Fn) # graphical representation

## Alternative 1: create ogive directly from individual data

## without first creating a grouped data object.
ogive(dental) # automatic class boundaries
ogive(dental, breaks = c(0, 50, 200, 500, 1500, 2000))

## Alternative 2: create ogive from set of group boundaries and

## group frequencies.
cj <- c(0, 25, 50, 100, 250, 500, 1000)
nj <- c(30, 31, 57, 42, 45, 10)
ogive(cj, nj)

Paralogistic The Paralogistic Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Paralogistic distribution with parameters shape and scale.

Usage
dparalogis(x, shape, rate = 1, scale = 1/rate, log = FALSE)
pparalogis(q, shape, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qparalogis(p, shape, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rparalogis(n, shape, rate = 1, scale = 1/rate)
mparalogis(order, shape, rate = 1, scale = 1/rate)
levparalogis(limit, shape, rate = 1, scale = 1/rate,
order = 1)

Arguments
x, q vector of quantiles.
p vector of probabilities.
Paralogistic 79

n number of observations. If length(n) > 1, the length is taken to be the number

required.
shape, scale parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.

Details
The paralogistic distribution with parameters shape = α and scale = θ has density:

α2 (x/θ)α
f (x) =
x[1 + (x/θ)α )α+1

for x > 0, α > 0 and θ > 0.

The kth raw moment of the random variable X is E[X k ], −α < k < α2 .
The kth limited moment at some limit d is E[min(X, d)k ], k > −α and α − k/α not a negative
integer.

Value
dparalogis gives the density, pparalogis gives the distribution function, qparalogis gives the
quantile function, rparalogis generates random deviates, mparalogis gives the kth raw moment,
and levparalogis gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note
levparalogis computes the limited expected value using betaint.
See Kleiber and Kotz (2003) for alternative names and parametrizations.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.
80 Pareto

Examples
exp(dparalogis(2, 3, 4, log = TRUE))
p <- (1:10)/10
pparalogis(qparalogis(p, 2, 3), 2, 3)

## variance
mparalogis(2, 2, 3) - mparalogis(1, 2, 3)^2

## case with shape - order/shape > 0

levparalogis(10, 2, 3, order = 2)

## case with shape - order/shape < 0

levparalogis(10, 1.25, 3, order = 2)

Pareto The Pareto Distribution

Description

Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Pareto distribution with parameters shape and scale.

Usage

dpareto(x, shape, scale, log = FALSE)

ppareto(q, shape, scale, lower.tail = TRUE, log.p = FALSE)
qpareto(p, shape, scale, lower.tail = TRUE, log.p = FALSE)
rpareto(n, shape, scale)
mpareto(order, shape, scale)
levpareto(limit, shape, scale, order = 1)

Arguments

x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shape, scale parameters. Must be strictly positive.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.
Pareto 81

Details

The Pareto distribution with parameters shape = α and scale = θ has density:

αθα
f (x) =
(x + θ)α+1

for x > 0, α > 0 and θ.

There are many different definitions of the Pareto distribution in the literature; see Arnold (2015) or
Kleiber and Kotz (2003). In the nomenclature of actuar, The “Pareto distribution” does not have a
location parameter. The version with a location parameter is the Pareto II.
The kth raw moment of the random variable X is E[X k ], −1 < k < α.
The kth limited moment at some limit d is E[min(X, d)k ], k > −1 and α −k not a negative integer.

Value

dpareto gives the density, ppareto gives the distribution function, qpareto gives the quantile
function, rpareto generates random deviates, mpareto gives the kth raw moment, and levpareto
gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note

levpareto computes the limited expected value using betaint.

The version of the Pareto defined for x > θ is named Single Parameter Pareto, or Pareto I, in actuar.

Author(s)

Vincent Goulet <[email protected]> and Mathieu Pigeon

References

Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also

dpareto2 for an equivalent distribution with location parameter.

dpareto1 for the Single Parameter Pareto distribution.
"distributions" package vignette for details on the interrelations between the continuous size
distributions in actuar and complete formulas underlying the above functions.
82 Pareto2

Examples
exp(dpareto(2, 3, 4, log = TRUE))
p <- (1:10)/10
ppareto(qpareto(p, 2, 3), 2, 3)

## variance
mpareto(2, 4, 1) - mpareto(1, 4, 1)^2

## case with shape - order > 0

levpareto(10, 3, scale = 1, order = 2)

## case with shape - order < 0

levpareto(10, 1.5, scale = 1, order = 2)

Pareto2 The Pareto II Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Pareto II distribution with parameters min, shape and scale.

Usage
dpareto2(x, min, shape, rate = 1, scale = 1/rate,
log = FALSE)
ppareto2(q, min, shape, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qpareto2(p, min, shape, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rpareto2(n, min, shape, rate = 1, scale = 1/rate)
mpareto2(order, min, shape, rate = 1, scale = 1/rate)
levpareto2(limit, min, shape, rate = 1, scale = 1/rate,
order = 1)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
min lower bound of the support of the distribution.
shape, scale parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.
Pareto2 83

Details
The Pareto II (or “type II”) distribution with parameters min = µ, shape = α and scale = θ has
density:
α
f (x) =
θ[1 + (x − µ)/θ]α+1
for x > µ, −∞ < µ < ∞, α > 0 and θ > 0.
The Pareto II is the distribution of the random variable
 
X
µ+θ ,
1−X

where X has a beta distribution with parameters 1 and α. It derives from the Feller-Pareto distribu-
tion with τ = γ = 1. Setting µ = 0 yields the familiar Pareto distribution.
The Pareto I (or Single parameter Pareto) distribution is a special case of the Pareto II with min ==
scale.
The kth raw moment of the random variable X is E[X k ] for nonnegative integer values of k < α.
The kth limited moment at some limit d is E[min(X, d)k ] for nonnegative integer values of k and
α − j, j = 1, . . . , k not a negative integer.

Value
dpareto2 gives the density, ppareto2 gives the distribution function, qpareto2 gives the quan-
tile function, rpareto2 generates random deviates, mpareto2 gives the kth raw moment, and
levpareto2 gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note
levpareto2 computes the limited expected value using betaint.
For Pareto distributions, we use the classification of Arnold (2015) with the parametrization of
Klugman et al. (2012).
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]>

References
Arnold, B.C. (2015), Pareto Distributions, Second Edition, CRC Press.
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.
84 Pareto3

See Also
dpareto for the Pareto distribution without a location parameter.

Examples
exp(dpareto2(1, min = 10, 3, 4, log = TRUE))
p <- (1:10)/10
ppareto2(qpareto2(p, min = 10, 2, 3), min = 10, 2, 3)

## variance
mpareto2(2, min = 10, 4, 1) - mpareto2(1, min = 10, 4, 1)^2

## case with shape - order > 0

levpareto2(10, min = 10, 3, scale = 1, order = 2)

## case with shape - order < 0

levpareto2(10, min = 10, 1.5, scale = 1, order = 2)

Pareto3 The Pareto III Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Pareto III distribution with parameters min, shape and scale.

Usage
dpareto3(x, min, shape, rate = 1, scale = 1/rate,
log = FALSE)
ppareto3(q, min, shape, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qpareto3(p, min, shape, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rpareto3(n, min, shape, rate = 1, scale = 1/rate)
mpareto3(order, min, shape, rate = 1, scale = 1/rate)
levpareto3(limit, min, shape, rate = 1, scale = 1/rate,
order = 1)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
min lower bound of the support of the distribution.
shape, scale parameters. Must be strictly positive.
Pareto3 85

rate an alternative way to specify the scale.

log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.

Details

The Pareto III (or “type III”) distribution with parameters min = µ, shape = γ and scale = θ has
density:
γ((x − µ)/θ)γ−1
f (x) =
θ[1 + ((x − µ)/θ)γ ]2
for x > µ, −∞ < µ < ∞, γ > 0 and θ > 0.
The Pareto III is the distribution of the random variable
 1/γ
X
µ+θ ,
1−X

where X has a uniform distribution on (0, 1). It derives from the Feller-Pareto distribution with
α = τ = 1. Setting µ = 0 yields the loglogistic distribution.
The kth raw moment of the random variable X is E[X k ] for nonnegative integer values of k < γ.
The kth limited moment at some limit d is E[min(X, d)k ] for nonnegative integer values of k and
1 − j/γ, j = 1, . . . , k not a negative integer.

Value

dpareto3 gives the density, ppareto3 gives the distribution function, qpareto3 gives the quan-
tile function, rpareto3 generates random deviates, mpareto3 gives the kth raw moment, and
levpareto3 gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note

levpareto3 computes the limited expected value using betaint.

For Pareto distributions, we use the classification of Arnold (2015) with the parametrization of
Klugman et al. (2012).
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)

Vincent Goulet <[email protected]>

86 Pareto4

References
Arnold, B.C. (2015), Pareto Distributions, Second Edition, CRC Press.
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
dllogis for the loglogistic distribution.

Examples
exp(dpareto3(1, min = 10, 3, 4, log = TRUE))
p <- (1:10)/10
ppareto3(qpareto3(p, min = 10, 2, 3), min = 10, 2, 3)

## mean
mpareto3(1, min = 10, 2, 3)

## case with 1 - order/shape > 0

levpareto3(20, min = 10, 2, 3, order = 1)

## case with 1 - order/shape < 0

levpareto3(20, min = 10, 2/3, 3, order = 1)

Pareto4 The Pareto IV Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Pareto IV distribution with parameters min, shape1, shape2 and scale.

Usage
dpareto4(x, min, shape1, shape2, rate = 1, scale = 1/rate,
log = FALSE)
ppareto4(q, min, shape1, shape2, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qpareto4(p, min, shape1, shape2, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rpareto4(n, min, shape1, shape2, rate = 1, scale = 1/rate)
mpareto4(order, min, shape1, shape2, rate = 1, scale = 1/rate)
levpareto4(limit, min, shape1, shape2, rate = 1, scale = 1/rate,
order = 1)
Pareto4 87

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
min lower bound of the support of the distribution.
shape1, shape2, scale
parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.

Details
The Pareto IV (or “type IV”) distribution with parameters min = µ, shape1 = α, shape2 = γ and
scale = θ has density:
αγ((x − µ)/θ)γ−1
f (x) =
θ[1 + ((x − µ)/θ)γ ]α+1
for x > µ, −∞ < µ < ∞, α > 0, γ > 0 and θ > 0.
The Pareto IV is the distribution of the random variable
 1/γ
X
µ+θ ,
1−X

where X has a beta distribution with parameters 1 and α. It derives from the Feller-Pareto distribu-
tion with τ = 1. Setting µ = 0 yields the Burr distribution.
The Pareto IV distribution also has the following direct special cases:

• A Pareto III distribution when shape1 == 1;

• A Pareto II distribution when shape1 == 1.

The kth raw moment of the random variable X is E[X k ] for nonnegative integer values of k < αγ.
The kth limited moment at some limit d is E[min(X, d)k ] for nonnegative integer values of k and
α − j/γ, j = 1, . . . , k not a negative integer.

Value
dpareto4 gives the density, ppareto4 gives the distribution function, qpareto4 gives the quan-
tile function, rpareto4 generates random deviates, mpareto4 gives the kth raw moment, and
levpareto4 gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.
88 PhaseType

Note
levpareto4 computes the limited expected value using betaint.
For Pareto distributions, we use the classification of Arnold (2015) with the parametrization of
Klugman et al. (2012).
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]>

References
Arnold, B.C. (2015), Pareto Distributions, Second Edition, CRC Press.
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
dburr for the Burr distribution.

Examples
exp(dpareto4(1, min = 10, 2, 3, log = TRUE))
p <- (1:10)/10
ppareto4(qpareto4(p, min = 10, 2, 3, 2), min = 10, 2, 3, 2)

## variance
mpareto4(2, min = 10, 2, 3, 1) - mpareto4(1, min = 10, 2, 3, 1) ^ 2

## case with shape1 - order/shape2 > 0

levpareto4(10, min = 10, 2, 3, 1, order = 2)

## case with shape1 - order/shape2 < 0

levpareto4(10, min = 10, 1.5, 0.5, 1, order = 2)

PhaseType The Phase-type Distribution

Description
Density, distribution function, random generation, raw moments and moment generating function
for the (continuous) Phase-type distribution with parameters prob and rates.
PhaseType 89

Usage
dphtype(x, prob, rates, log = FALSE)
pphtype(q, prob, rates, lower.tail = TRUE, log.p = FALSE)
rphtype(n, prob, rates)
mphtype(order, prob, rates)
mgfphtype(t, prob, rates, log = FALSE)

Arguments
x, q vector of quantiles.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
prob vector of initial probabilities for each of the transient states of the underlying
Markov chain. The initial probability of the absorbing state is 1 -sum(prob).
rates square matrix of the rates of transition among the states of the underlying Markov
chain.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
t numeric vector.

Details
The phase-type distribution with parameters prob = π and rates = T has density:

f (x) = πeT x t

for x ≥ 0 and f (0) = 1 − πe, where e is a column vector with all components equal to one,
t = −T e is the exit rates vector and eT x denotes the matrix exponential of T x. The matrix
exponential of a matrix M is defined as the Taylor series
∞
X Mn
eM = .
n=0
n!

The parameters of the distribution must satisfy πe ≤ 1, Tii < 0, Tij ≥ 0 and T e ≤ 0.
The kth raw moment of the random variable X is E[X k ] and the moment generating function is
E[etX ].

Value
dphasetype gives the density, pphasetype gives the distribution function, rphasetype generates
random deviates, mphasetype gives the kth raw moment, and mgfphasetype gives the moment
generating function in x.
Invalid arguments will result in return value NaN, with a warning.
90 PoissonInverseGaussian

Note
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Christophe Dutang

References
https://en.wikipedia.org/wiki/Phase-type_distribution
Neuts, M. F. (1981), Generating random variates from a distribution of phase type, WSC ’81:
Proceedings of the 13th conference on Winter simulation, IEEE Press.

Examples
## Erlang(3, 2) distribution
T <- cbind(c(-2, 0, 0), c(2, -2, 0), c(0, 2, -2))
pi <- c(1,0,0)
x <- 0:10

dphtype(x, pi, T) # density

dgamma(x, 3, 2) # same
pphtype(x, pi, T) # cdf
pgamma(x, 3, 2) # same

rphtype(10, pi, T) # random values

mphtype(1, pi, T) # expected value

curve(mgfphtype(x, pi, T), from = -10, to = 1)

PoissonInverseGaussian
The Poisson-Inverse Gaussian Distribution

Description
Density function, distribution function, quantile function and random generation for the Poisson-
inverse Gaussian discrete distribution with parameters mean and shape.

Usage
dpoisinvgauss(x, mean, shape = 1, dispersion = 1/shape,
log = FALSE)
ppoisinvgauss(q, mean, shape = 1, dispersion = 1/shape,
lower.tail = TRUE, log.p = FALSE)
qpoisinvgauss(p, mean, shape = 1, dispersion = 1/shape,
lower.tail = TRUE, log.p = FALSE)
rpoisinvgauss(n, mean, shape = 1, dispersion = 1/shape)
PoissonInverseGaussian 91

Arguments
x vector of (positive integer) quantiles.
q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
mean, shape parameters. Must be strictly positive. Infinite values are supported.
dispersion an alternative way to specify the shape.
log, log.p logical; if TRUE, probabilities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].

Details
The Poisson-inverse Gaussian distribution is the result of the continuous mixture between a Poisson
distribution and an inverse Gaussian, that is, the distribution with probability mass function
Z ∞ x −λ
λ e
p(x) = g(λ; µ, φ) dλ,
0 x!
where g(λ; µ, φ) is the density function of the inverse Gaussian distribution with parameters mean
= µ and dispersion = φ (see dinvgauss).
The resulting probability mass function is

−1
s !−(x− 12 ) s !
2 e(φµ)
r  
1 2 1
p(x) = 2φ 1 + Kx− 21 1+ ,
πφ x! 2φµ2 φ 2φµ2

for x = 0, 1, . . ., µ > 0, φ > 0 and where Kν (x) is the modified Bessel function of the third kind
implemented by R’s besselK() and defined in its help.
The limiting case µ = ∞ has well defined probability mass and distribution functions, but has no
finite strictly positive, integer moments. The pmf in this case reduces to
r
2 1 p −(x− 1 ) p
p(x) = ( 2φ) 2 K
x− 12 ( 2/φ).
πφ x!

The limiting case φ = 0 is a degenerate distribution in x = 0.

If an element of x is not integer, the result of dpoisinvgauss is zero, with a warning.
The quantile is defined as the smallest value x such that F (x) ≥ p, where F is the distribution
function.

Value
dpoisinvgauss gives the probability mass function, ppoisinvgauss gives the distribution func-
tion, qpoisinvgauss gives the quantile function, and rpoisinvgauss generates random deviates.
Invalid arguments will result in return value NaN, with a warning.
The length of the result is determined by n for rpoisinvgauss, and is the maximum of the lengths
of the numerical arguments for the other functions.
92 PoissonInverseGaussian

Note

[dpqr]pig are aliases for [dpqr]poisinvgauss.

qpoisinvgauss is based on qbinom et al.; it uses the Cornish–Fisher Expansion to include a skew-
ness correction to a normal approximation, followed by a search.

Author(s)

Vincent Goulet <[email protected]>

References

Holla, M. S. (1966), “On a Poisson-Inverse Gaussian Distribution”, Metrika, vol. 15, p. 377-384.
Johnson, N. L., Kemp, A. W. and Kotz, S. (2005), Univariate Discrete Distributions, Third Edition,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.
Shaban, S. A., (1981) “Computation of the poisson-inverse gaussian distribution”, Communications
in Statistics - Theory and Methods, vol. 10, no. 14, p. 1389-1399.

See Also

dpois for the Poisson distribution, dinvgauss for the inverse Gaussian distribution.

Examples

## Tables I and II of Shaban (1981)

x <- 0:2
sapply(c(0.4, 0.8, 1), dpoisinvgauss, x = x, mean = 0.1)
sapply(c(40, 80, 100, 130), dpoisinvgauss, x = x, mean = 1)

qpoisinvgauss(ppoisinvgauss(0:10, 1, dis = 2.5), 1, dis = 2.5)

x <- rpoisinvgauss(1000, 1, dis = 2.5)

y <- sort(unique(x))
plot(y, table(x)/length(x), type = "h", lwd = 2,
pch = 19, col = "black", xlab = "x", ylab = "p(x)",
main = "Empirical vs theoretical probabilities")
points(y, dpoisinvgauss(y, 1, dis = 2.5),
pch = 19, col = "red")
legend("topright", c("empirical", "theoretical"),
lty = c(1, NA), pch = c(NA, 19), col = c("black", "red"))
quantile.aggregateDist 93

quantile.aggregateDist
Quantiles of Aggregate Claim Amount Distribution

Description
Quantile and Value-at-Risk methods for objects of class "aggregateDist".

Usage
## S3 method for class 'aggregateDist'
quantile(x,
probs = c(0.25, 0.5, 0.75, 0.9, 0.95, 0.975, 0.99, 0.995),
smooth = FALSE, names = TRUE, ...)

## S3 method for class 'aggregateDist'

VaR(x, conf.level = c(0.9, 0.95, 0.99),
smooth = FALSE, names = TRUE, ...)

Arguments
x an object of class "aggregateDist".
probs, conf.level
numeric vector of probabilities with values in [0, 1).
smooth logical; when TRUE and x is a step function, quantiles are linearly interpolated
between knots.
names logical; if true, the result has a names attribute. Set to FALSE for speedup with
many probs.
... further arguments passed to or from other methods.

Details
The quantiles are taken directly from the cumulative distribution function defined in x. Linear
interpolation is available for step functions.

Value
A numeric vector, named if names is TRUE.

Author(s)
Vincent Goulet <[email protected]> and Louis-Philippe Pouliot

See Also
aggregateDist
94 quantile.grouped.data

Examples
model.freq <- expression(data = rpois(3))
model.sev <- expression(data = rlnorm(10, 1.5))
Fs <- aggregateDist("simulation", model.freq, model.sev, nb.simul = 1000)
quantile(Fs, probs = c(0.25, 0.5, 0.75))
VaR(Fs)

quantile.grouped.data Quantiles of Grouped Data

Description
Sample quantiles corresponding to the given probabilities for objects of class "grouped.data".

Usage
## S3 method for class 'grouped.data'
quantile(x, probs = seq(0, 1, 0.25),
names = TRUE, ...)

Arguments
x an object of class "grouped.data".
probs numeric vector of probabilities with values in [0, 1].
names logical; if true, the result has a names attribute. Set to FALSE for speedup with
many probs.
... further arguments passed to or from other methods.

Details
The quantile function is the inverse of the ogive, that is a linear interpolation of the empirical
quantile function.
The equation of the quantile function is

cj (Fn (cj−1 ) − q) + cj−1 (q − Fn (cj )

x=
Fn (cj ) − Fn (cj−1 )

for 0 ≤ q ≤ cj and where c0 , . . . , cr are the r + 1 group boundaries and Fn is the empirical
distribution function of the sample.

Value
A numeric vector, named if names is TRUE.

Author(s)
Vincent Goulet <[email protected]>
rcompound 95

See Also
ogive for the smoothed empirical distribution of which quantile.grouped.data is an inverse;
grouped.data to create grouped data objects.

Examples
data(gdental)
quantile(gdental)
Fn <- ogive(gdental)
Fn(quantile(gdental)) # inverse function

rcompound Simulation from Compound Models

Description
rcompound generates random variates from a compound model.
rcomppois is a simplified version for a common case.

Usage
rcompound(n, model.freq, model.sev, SIMPLIFY = TRUE)

rcomppois(n, lambda, model.sev, SIMPLIFY = TRUE)

Arguments
n number of observations. If length(n) > 1, the length is taken to be the number
required.
model.freq, model.sev
expressions specifying the frequency and severity simulation models with the
number of variates omitted (see details).
lambda Poisson parameter.
SIMPLIFY boolean; if FALSE the frequency and severity variates are returned along with the
aggregate variates.

Details
rcompound generates variates from a random variable of the form

S = X1 + ...XN ,

where N is the frequency random variable and X1 , X2 , . . . are the severity random variables. The
latter are mutually independent, identically distributed and independent from N .
model.freq and model.sev specify the simulation models for the frequency and the severity ran-
dom variables, respectively. A model is a complete call to a random number generation function,
96 rcompound

with the number of variates omitted. This is similar to rcomphierarc, but the calls need not be
wrapped into expression. Either argument may also be the name of an object containing an ex-
pression, in which case the object will be evaluated in the evaluation frame to retrieve the expression.
The argument of the random number generation functions for the number of variates to simulate
must be named n.
rcomppois generates variates from the common Compound Poisson model, that is when random
variable N is Poisson distributed with mean lambda.

Value
When SIMPLIFY = TRUE, a vector of aggregate amounts S1 , . . . , Sn .
When SIMPLIFY = FALSE, a list of three elements:
aggregate vector of aggregate amounts S1 , . . . , Sn ;
frequency vector of frequencies N1 , . . . , Nn ;
severity vector of severities X1 , X2 , . . ..

Author(s)
Vincent Goulet <[email protected]>

See Also
rcomphierarc to simulate from compound hierarchical models.

Examples
## Compound Poisson model with gamma severity.
rcompound(10, rpois(2), rgamma(2, 3))
rcomppois(10, 2, rgamma(2, 3)) # same

## Frequencies and individual claim amounts along with aggregate

## values.
rcomppois(10, 2, rgamma(2, 3), SIMPLIFY = FALSE)

## Wrapping the simulation models into expression() is allowed, but

## not needed.
rcompound(10, expression(rpois(2)), expression(rgamma(2, 3)))

## Not run: ## Speed comparison between rcompound() and rcomphierarc().

## [Also note the simpler syntax for rcompound().]
system.time(rcompound(1e6, rpois(2), rgamma(2, 3)))
system.time(rcomphierarc(1e6, expression(rpois(2)), expression(rgamma(2, 3))))
## End(Not run)
## The severity can itself be a compound model. It makes sense
## in such a case to use a zero-truncated frequency distribution
## for the second level model.
rcomppois(10, 2,
rcompound(rztnbinom(1.5, 0.7), rlnorm(1.2, 1)))
rmixture 97

rmixture Simulation from Discrete Mixtures

Description
Generate random variates from a discrete mixture of distributions.

Usage
rmixture(n, probs, models, shuffle = TRUE)

Arguments
n number of random variates to generate. If length(n) > 1, the length is taken to
be the number required.
probs numeric non-negative vector specifying the probability for each model; is inter-
nally normalized to sum 1. Infinite and missing values are not allowed. Values
are recycled as necessary to match the length of models.
models vector of expressions specifying the simulation models with the number of vari-
ates omitted (see details). Models are recycled as necessary to match the length
of probs.
shuffle logical; should the random variates from the distributions be shuffled?

Details
rmixture generates variates from a discrete mixture, that is random variable with a probability
density function of the form

f (x) = p1 f1 (x) + ... + pn fn (x),

Pn
where f1 , . . . , fn are densities and i=1 pi = 1.
The values in probs will be internally normalized to be used as probabilities p1 + . . . + pn .
The specification of simulation models uses the syntax of rcomphierarc. Models f1 , . . . , fn are
expressed in a semi-symbolic fashion using an object of mode expression where each element is
a complete call to a random number generation function, with the number of variates omitted.
The argument of the random number generation functions for the number of variates to simulate
must be named n.
If shuffle is FALSE, the output vector contains all the random variates from the first model, then
all the random variates from the second model, and so on. If the order of the variates is irrelevant,
this cuts the time to generate the variates roughly in half.

Value
A vector of random variates from the mixture with density f (x).
98 ruin

Author(s)
Vincent Goulet <[email protected]>

See Also
rcompound to simulate from compound models.
rcomphierarc to simulate from compound hierarchical models.

Examples
## Mixture of two exponentials (with means 1/3 and 1/7) with equal
## probabilities.
rmixture(10, 0.5, expression(rexp(3), rexp(7)))
rmixture(10, 42, expression(rexp(3), rexp(7))) # same

## Mixture of two lognormals with different probabilities.

rmixture(10, probs = c(0.55, 0.45),
models = expression(rlnorm(3.6, 0.6),
rlnorm(4.6, 0.3)))

ruin Probability of Ruin

Description
Calulation of infinite time probability of ruin in the models of Cramér-Lundberg and Sparre Ander-
sen, that is with exponential or phase-type (including mixtures of exponentials, Erlang and mixture
of Erlang) claims interarrival time.

Usage
ruin(claims = c("exponential", "Erlang", "phase-type"), par.claims,
wait = c("exponential", "Erlang", "phase-type"), par.wait,
premium.rate = 1, tol = sqrt(.Machine$double.eps),
maxit = 200L, echo = FALSE)

## S3 method for class 'ruin'

plot(x, from = NULL, to = NULL, add = FALSE,
xlab = "u", ylab = expression(psi(u)),
main = "Probability of Ruin", xlim = NULL, ...)

Arguments
claims character; the type of claim severity distribution.
wait character; the type of claim interarrival (wait) time distribution.
par.claims, par.wait
named list containing the parameters of the distribution (see details).
ruin 99

premium.rate numeric vector of length 1; the premium rate.

tol, maxit, echo
respectively the tolerance level of the stopping criteria, the maximum number
of iterations and whether or not to echo the procedure when the transition rates
matrix is determined iteratively. Ignored if wait = "exponential".
x an object of class "ruin".
from, to the range over which the function will be plotted.
add logical; if TRUE add to already existing plot.
xlim numeric of length 2; if specified, it serves as default for c(from,to).
xlab, ylab label of the x and y axes, respectively.
main main title.
... further graphical parameters accepted by curve.

Details
The names of the parameters in par.claims and par.wait must the same as in dexp, dgamma or
dphtype, as appropriate. A model will be a mixture of exponential or Erlang distributions (but not
phase-type) when the parameters are vectors of length > 1 and the parameter list contains a vector
weights of the coefficients of the mixture.
Parameters are recycled when needed. Their names can be abbreviated.
Combinations of exponentials as defined in Dufresne and Gerber (1988) are not supported.
Ruin probabilities are evaluated using pphtype except when both distributions are exponential, in
which case an explicit formula is used.
When wait != "exponential" (Sparre Andersen model), the transition rate matrix Q of the dis-
tribution of the probability of ruin is determined iteratively using a fixed point-like algorithm. The
stopping criteria used is  
X n 
max |Qij − Q0ij | < tol,
 
j=1

where Q and Q0 are two successive values of the matrix.

Value
A function of class "ruin" inheriting from the "function" class to compute the probability of ruin
given initial surplus levels. The function has arguments:

u numeric vector of initial surplus levels;

survival logical; if FALSE (default), probabilities are ψ(u), otherwise, φ(u) = 1 − ψ(u);
lower.tail an alias for !survival.

Author(s)
Vincent Goulet <[email protected]>, and Christophe Dutang
100 severity

References
Asmussen, S. and Rolski, T. (1991), Computational methods in risk theory: A matrix algorithmic
approach, Insurance: Mathematics and Economics 10, 259–274.
Dufresne, F. and Gerber, H. U. (1988), Three methods to calculate the probability of ruin, Astin
Bulletin 19, 71–90.
Gerber, H. U. (1979), An Introduction to Mathematical Risk Theory, Huebner Foundation.

Examples
## Case with an explicit formula: exponential claims and exponential
## interarrival times.
psi <- ruin(claims = "e", par.claims = list(rate = 5),
wait = "e", par.wait = list(rate = 3))
psi
psi(0:10)
plot(psi, from = 0, to = 10)

## Mixture of two exponentials for claims, exponential interarrival

## times (Gerber 1979)
psi <- ruin(claims = "e", par.claims = list(rate = c(3, 7), w = 0.5),
wait = "e", par.wait = list(rate = 3), pre = 1)
u <- 0:10
psi(u)
(24 * exp(-u) + exp(-6 * u))/35 # same

## Phase-type claims, exponential interarrival times (Asmussen and

## Rolski 1991)
p <- c(0.5614, 0.4386)
r <- matrix(c(-8.64, 0.101, 1.997, -1.095), 2, 2)
lambda <- 1/(1.1 * mphtype(1, p, r))
psi <- ruin(claims = "p", par.claims = list(prob = p, rates = r),
wait = "e", par.wait = list(rate = lambda))
psi
plot(psi, xlim = c(0, 50))

## Phase-type claims, mixture of two exponentials for interarrival times

## (Asmussen and Rolski 1991)
a <- (0.4/5 + 0.6) * lambda
ruin(claims = "p", par.claims = list(prob = p, rates = r),
wait = "e", par.wait = list(rate = c(5 * a, a), weights =
c(0.4, 0.6)),
maxit = 225L)

severity Manipulation of Individual Claim Amounts

Description
severity is a generic function created to manipulate individual claim amounts. The function in-
vokes particular methods which depend on the class of the first argument.
simul 101

Usage
severity(x, ...)

## Default S3 method:
severity(x, bycol = FALSE, drop = TRUE, ...)

Arguments
x an R object.
bycol logical; whether to “unroll” horizontally (FALSE) or vertically (TRUE)
... further arguments to be passed to or from other methods.
drop logical; if TRUE, the result is coerced to the lowest possible dimension.

Details
Currently, the default method is equivalent to unroll. This is liable to change since the link between
the name and the use of the function is rather weak.

Value
A vector or matrix.

Author(s)
Vincent Goulet <[email protected]> and Louis-Philippe Pouliot

See Also
severity.portfolio for the original motivation of these functions.

Examples
x <- list(c(1:3), c(1:8), c(1:4), c(1:3))
(mat <- matrix(x, 2, 2))
severity(mat)
severity(mat, bycol = TRUE)

simul Simulation from Compound Hierarchical Models

Description
Simulate data for insurance applications allowing hierarchical structures and separate models for
the frequency and severity of claims distributions.
rcomphierarc is an alias for simul.
102 simul

Usage
simul(nodes, model.freq = NULL, model.sev = NULL, weights = NULL)

rcomphierarc(nodes, model.freq = NULL, model.sev = NULL, weights = NULL)

## S3 method for class 'portfolio'

print(x, ...)

Arguments
nodes a vector or a named list giving the number of "nodes" at each level in the hierar-
chy of the portfolio. The nodes are listed from top (portfolio) to bottom (usually
the years of experience).
model.freq a named vector of expressions specifying the frequency of claims model (see
details); if NULL, only claim amounts are simulated.
model.sev a named vector of expressions specifying the severity of claims model (see de-
tails); if NULL, only claim numbers are simulated.
weights a vector of weights.
x a portfolio object.
... potential further arguments required by generic.

Details
The order and the names of the elements in nodes, model.freq and model.sev must match. At
least one of model.freq and model.sev must be non NULL.
nodes may be a basic vector, named or not, for non hierarchical models. The rule above still applies,
so model.freq and model.sev should not be named if nodes is not. However, for non hierarchical
models, rcompound is faster and has a simpler interface.
nodes specifies the hierarchical layout of the portfolio. Each element of the list is a vector of the
number of nodes at a given level. Vectors are recycled as necessary.
model.freq and model.sev specify the simulation models for claim numbers and claim amounts,
respectively. A model is expressed in a semi-symbolic fashion using an object of mode expression.
Each element of the object must be named and should be a complete call to a random number
generation function, with the number of variates omitted. Hierarchical (or mixtures of) models are
achieved by replacing one or more parameters of a distribution at a given level by any combination
of the names of the levels above. If no mixing is to take place at a level, the model for this level can
be NULL.
The argument of the random number generation functions for the number of variates to simulate
must be named n.
Weights will be used wherever the name "weights" appears in a model. It is the user’s responsi-
bility to ensure that the length of weights will match the number of nodes when weights are to be
used. Normally, there should be one weight per node at the lowest level of the model.
Data is generated in lexicographic order, that is by row in the output matrix.
simul 103

Value
An object of class "portfolio". A print method for this class displays the models used in the
simulation as well as the frequency of claims for each year and entity in the portfolio.
An object of class "portfolio" is a list containing the following components:

data a two dimension list where each element is a vector of claim amounts;
weights the vector of weights given in argument reshaped as a matrix matching element
data, or NULL;
classification a matrix of integers where each row is a unique set of subscripts identifying an
entity in the portfolio (e.g. integers i, j and k for data Xijkt );
nodes the nodes argument, appropriately recycled;
model.freq the frequency model as given in argument;
model.sev the severity model as given in argument.

It is recommended to manipulate objects of class "portfolio" by means of the corresponding

methods of functions aggregate, frequency and severity.

Author(s)
Vincent Goulet <[email protected]>, Sébastien Auclair and Louis-Philippe Pouliot

References
Goulet, V. and Pouliot, L.-P. (2008), Simulation of compound hierarchical models in R, North
American Actuarial Journal 12, 401–412.

See Also
simul.summaries for the functions to create the matrices of aggregate claim amounts, frequencies
and individual claim amounts.
rcompound for a simpler and much faster way to generate variates from standard, non hierarchical,
compound models.

Examples
## Two level (contracts and years) portfolio with frequency model
## Nit|Theta_i ~ Poisson(Theta_i), Theta_i ~ Gamma(2, 3) and severity
## model X ~ Lognormal(5, 1)
simul(nodes = list(contract = 10, year = 5),
model.freq = expression(contract = rgamma(2, 3),
year = rpois(contract)),
model.sev = expression(contract = NULL,
year = rlnorm(5, 1)))

## Model with weights and mixtures for both frequency and severity
## models
nodes <- list(entity = 8, year = c(5, 4, 4, 5, 3, 5, 4, 5))
mf <- expression(entity = rgamma(2, 3),
104 simul.summaries

year = rpois(weights * entity))

ms <- expression(entity = rnorm(5, 1),
year = rlnorm(entity, 1))
wit <- sample(2:10, 35, replace = TRUE)
pf <- simul(nodes, mf, ms, wit)
pf # print method
weights(pf) # extraction of weights
aggregate(pf)[, -1]/weights(pf)[, -1] # ratios

## Four level hierarchical model for frequency only

nodes <- list(sector = 3, unit = c(3, 4),
employer = c(3, 4, 3, 4, 2, 3, 4), year = 5)
mf <- expression(sector = rexp(1),
unit = rexp(sector),
employer = rgamma(unit, 1),
year = rpois(employer))
pf <- simul(nodes, mf, NULL)
pf # print method
aggregate(pf) # aggregate claim amounts
frequency(pf) # frequencies
severity(pf) # individual claim amounts

## Standard, non hierarchical, compound model with simplified

## syntax (function rcompound() is much faster for such cases)
simul(10,
model.freq = expression(rpois(2)),
model.sev = expression(rgamma(2, 3)))

simul.summaries Summary Statistics of a Portfolio

Description
Methods for class "portfolio" objects.
aggregate splits portfolio data into subsets and computes summary statistics for each.
frequency computes the frequency of claims for subsets of portfolio data.
severity extracts the individual claim amounts.
weights extracts the matrix of weights.

Usage
## S3 method for class 'portfolio'
aggregate(x, by = names(x$nodes), FUN = sum,
classification = TRUE, prefix = NULL, ...)

## S3 method for class 'portfolio'

frequency(x, by = names(x$nodes),
classification = TRUE, prefix = NULL, ...)
simul.summaries 105

## S3 method for class 'portfolio'

severity(x, by = head(names(x$node), -1), splitcol = NULL,
classification = TRUE, prefix = NULL, ...)

## S3 method for class 'portfolio'

weights(object, classification = TRUE, prefix = NULL, ...)

Arguments
x, object an object of class "portfolio", typically created with simul.
by character vector of grouping elements using the level names of the portfolio in
x. The names can be abbreviated.
FUN the function to be applied to data subsets.
classification boolean; if TRUE, the node identifier columns are included in the output.
prefix characters to prefix column names with; if NULL, sensible defaults are used when
appropriate.
splitcol columns of the data matrix to extract separately; usual matrix indexing methods
are supported.
... optional arguments to FUN, or passed to or from other methods.

Details
By default, aggregate.portfolio computes the aggregate claim amounts for the grouping speci-
fied in by. Any other statistic based on the individual claim amounts can be used through argument
FUN.
frequency.portfolio is equivalent to using aggregate.portfolio with argument FUN equal to
if (identical(x,NA)) NA else length(x).
severity.portfolio extracts individual claim amounts of a portfolio by groupings using the de-
fault method of severity. Argument splitcol allows to get the individual claim amounts of
specific columns separately.
weights.portfolio extracts the weight matrix of a portfolio.

Value
A matrix or vector depending on the groupings specified in by.
For the aggregate and frequency methods: if at least one level other than the last one is used
for grouping, the result is a matrix obtained by binding the appropriate node identifiers extracted
from x$classification if classification = TRUE, and the summaries per grouping. If the last
level is used for grouping, the column names of x$data are retained; if the last level is not used for
grouping, the column name is replaced by the deparsed name of FUN. If only the last level is used
(column summaries), a named vector is returned.
For the severity method: a list of two elements:
main NULL or a matrix of claim amounts for the columns not specified in splitcol,
with the appropriate node identifiers extracted from x$classification if classification
= TRUE;
106 simul.summaries

split same as above, but for the columns specified in splitcol.

For the weights method: the weight matrix of the portfolio with node identifiers if classification
= TRUE.

Author(s)

Vincent Goulet <[email protected]>, Louis-Philippe Pouliot.

See Also

simul

Examples

nodes <- list(sector = 3, unit = c(3, 4),

employer = c(3, 4, 3, 4, 2, 3, 4), year = 5)
model.freq <- expression(sector = rexp(1),
unit = rexp(sector),
employer = rgamma(unit, 1),
year = rpois(employer))
model.sev <- expression(sector = rnorm(6, 0.1),
unit = rnorm(sector, 1),
employer = rnorm(unit, 1),
year = rlnorm(employer, 1))
pf <- simul(nodes, model.freq, model.sev)

aggregate(pf) # aggregate claim amount by employer and year

aggregate(pf, classification = FALSE) # same, without node identifiers
aggregate(pf, by = "sector") # by sector
aggregate(pf, by = "y") # by year
aggregate(pf, by = c("s", "u"), mean) # average claim amount

frequency(pf) # number of claims

frequency(pf, prefix = "freq.") # more explicit column names

severity(pf) # claim amounts by row

severity(pf, by = "year") # by column
severity(pf, by = c("s", "u")) # by unit
severity(pf, splitcol = "year.5") # last year separate
severity(pf, splitcol = 5) # same
severity(pf, splitcol = c(FALSE, FALSE, FALSE, FALSE, TRUE)) # same

weights(pf)

## For portfolios with weights, the following computes loss ratios.

## Not run: aggregate(pf, classif = FALSE) / weights(pf, classif = FALSE)
SingleParameterPareto 107

SingleParameterPareto The Single-parameter Pareto Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments, and
limited moments for the Single-parameter Pareto distribution with parameter shape.

Usage
dpareto1(x, shape, min, log = FALSE)
ppareto1(q, shape, min, lower.tail = TRUE, log.p = FALSE)
qpareto1(p, shape, min, lower.tail = TRUE, log.p = FALSE)
rpareto1(n, shape, min)
mpareto1(order, shape, min)
levpareto1(limit, shape, min, order = 1)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shape parameter. Must be strictly positive.
min lower bound of the support of the distribution.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.

Details
The single-parameter Pareto, or Pareto I, distribution with parameter shape = α has density:

αθα
f (x) =
xα+1
for x > θ, α > 0 and θ > 0.
Although there appears to be two parameters, only shape is a true parameter. The value of min = θ
must be set in advance.
The kth raw moment of the random variable X is E[X k ], k < α and the kth limited moment at
some limit d is E[min(X, d)k ], x ≥ θ.
108 TransformedBeta

Value
dpareto1 gives the density, ppareto1 gives the distribution function, qpareto1 gives the quan-
tile function, rpareto1 generates random deviates, mpareto1 gives the kth raw moment, and
levpareto1 gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note
For Pareto distributions, we use the classification of Arnold (2015) with the parametrization of
Klugman et al. (2012).
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Arnold, B.C. (2015), Pareto Distributions, Second Edition, CRC Press.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
dpareto for the two-parameter Pareto distribution.

Examples
exp(dpareto1(5, 3, 4, log = TRUE))
p <- (1:10)/10
ppareto1(qpareto1(p, 2, 3), 2, 3)
mpareto1(2, 3, 4) - mpareto(1, 3, 4) ^ 2
levpareto(10, 3, 4, order = 2)

TransformedBeta The Transformed Beta Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Transformed Beta distribution with parameters shape1, shape2, shape3
and scale.
TransformedBeta 109

Usage
dtrbeta(x, shape1, shape2, shape3, rate = 1, scale = 1/rate,
log = FALSE)
ptrbeta(q, shape1, shape2, shape3, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qtrbeta(p, shape1, shape2, shape3, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rtrbeta(n, shape1, shape2, shape3, rate = 1, scale = 1/rate)
mtrbeta(order, shape1, shape2, shape3, rate = 1, scale = 1/rate)
levtrbeta(limit, shape1, shape2, shape3, rate = 1, scale = 1/rate,
order = 1)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shape1, shape2, shape3, scale
parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.

Details
The transformed beta distribution with parameters shape1 = α, shape2 = γ, shape3 = τ and
scale = θ, has density:
Γ(α + τ ) γ(x/θ)γτ
f (x) =
Γ(α)Γ(τ ) x[1 + (x/θ)γ ]α+τ
for x > 0, α > 0, γ > 0, τ > 0 and θ > 0. (Here Γ(α) is the function implemented by R’s
gamma() and defined in its help.)
The transformed beta is the distribution of the random variable
 1/γ
X
θ ,
1−X

where X has a beta distribution with parameters τ and α.

The transformed beta distribution defines a family of distributions with the following special cases:

• A Burr distribution when shape3 == 1;

• A loglogistic distribution when shape1 == shape3 == 1;
• A paralogistic distribution when shape3 == 1 and shape2 == shape1;
110 TransformedBeta

• A generalized Pareto distribution when shape2 == 1;

• A Pareto distribution when shape2 == shape3 == 1;
• An inverse Burr distribution when shape1 == 1;
• An inverse Pareto distribution when shape2 == shape1 == 1;
• An inverse paralogistic distribution when shape1 == 1 and shape3 == shape2.
The kth raw moment of the random variable X is E[X k ], −τ γ < k < αγ.
The kth limited moment at some limit d is E[min(X, d)k ], k > −τ γ and α − k/γ not a negative
integer.

Value
dtrbeta gives the density, ptrbeta gives the distribution function, qtrbeta gives the quantile
function, rtrbeta generates random deviates, mtrbeta gives the kth raw moment, and levtrbeta
gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note
levtrbeta computes the limited expected value using betaint.
Distribution also known as the Generalized Beta of the Second Kind and Pearson Type VI. See also
Kleiber and Kotz (2003) for alternative names and parametrizations.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
dfpareto for an equivalent distribution with a location parameter.

Examples
exp(dtrbeta(2, 2, 3, 4, 5, log = TRUE))
p <- (1:10)/10
ptrbeta(qtrbeta(p, 2, 3, 4, 5), 2, 3, 4, 5)
qpearson6(0.3, 2, 3, 4, 5, lower.tail = FALSE)

## variance
TransformedGamma 111

mtrbeta(2, 2, 3, 4, 5) - mtrbeta(1, 2, 3, 4, 5)^2

## case with shape1 - order/shape2 > 0

levtrbeta(10, 2, 3, 4, scale = 1, order = 2)

## case with shape1 - order/shape2 < 0

levtrbeta(10, 1/3, 0.75, 4, scale = 0.5, order = 2)

TransformedGamma The Transformed Gamma Distribution

Description
Density function, distribution function, quantile function, random generation, raw moments and
limited moments for the Transformed Gamma distribution with parameters shape1, shape2 and
scale.

Usage
dtrgamma(x, shape1, shape2, rate = 1, scale = 1/rate,
log = FALSE)
ptrgamma(q, shape1, shape2, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qtrgamma(p, shape1, shape2, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rtrgamma(n, shape1, shape2, rate = 1, scale = 1/rate)
mtrgamma(order, shape1, shape2, rate = 1, scale = 1/rate)
levtrgamma(limit, shape1, shape2, rate = 1, scale = 1/rate,
order = 1)

Arguments
x, q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
shape1, shape2, scale
parameters. Must be strictly positive.
rate an alternative way to specify the scale.
log, log.p logical; if TRUE, probabilities/densities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].
order order of the moment.
limit limit of the loss variable.
112 TransformedGamma

Details
The transformed gamma distribution with parameters shape1 = α, shape2 = τ and scale = θ has
density:
τ uα e−u
f (x) = , u = (x/θ)τ
xΓ(α)
for x > 0, α > 0, τ > 0 and θ > 0. (Here Γ(α) is the function implemented by R’s gamma() and
defined in its help.)
The transformed gamma is the distribution of the random variable θX 1/τ , where X has a gamma
distribution with shape parameter α and scale parameter 1 or, equivalently, of the random variable
Y 1/τ with Y a gamma distribution with shape parameter α and scale parameter θτ .
The transformed gamma probability distribution defines a family of distributions with the following
special cases:

• A Gamma distribution when shape2 == 1;

• A Weibull distribution when shape1 == 1;
• An Exponential distribution when shape2 == shape1 == 1.

The kth raw moment of the random variable X is E[X k ] and the kth limited moment at some limit
d is E[min(X, d)k ], k > −ατ .

Value
dtrgamma gives the density, ptrgamma gives the distribution function, qtrgamma gives the quan-
tile function, rtrgamma generates random deviates, mtrgamma gives the kth raw moment, and
levtrgamma gives the kth moment of the limited loss variable.
Invalid arguments will result in return value NaN, with a warning.

Note
Distribution also known as the Generalized Gamma. See also Kleiber and Kotz (2003) for alterna-
tive names and parametrizations.
The "distributions" package vignette provides the interrelations between the continuous size
distributions in actuar and the complete formulas underlying the above functions.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences,
Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.
UniformSupp 113

Examples
exp(dtrgamma(2, 3, 4, 5, log = TRUE))
p <- (1:10)/10
ptrgamma(qtrgamma(p, 2, 3, 4), 2, 3, 4)
mtrgamma(2, 3, 4, 5) - mtrgamma(1, 3, 4, 5) ^ 2
levtrgamma(10, 3, 4, 5, order = 2)

UniformSupp Moments and Moment Generating Function of the Uniform Distribu-

tion

Description
Raw moments, limited moments and moment generating function for the Uniform distribution from
min to max.

Usage
munif(order, min = 0, max = 1)
levunif(limit, min = 0, max =1, order = 1)
mgfunif(t, min = 0, max = 1, log = FALSE)

Arguments
order order of the moment.
min, max lower and upper limits of the distribution. Must be finite.
limit limit of the random variable.
t numeric vector.
log logical; if TRUE, the cumulant generating function is returned.

Details
The kth raw moment of the random variable X is E[X k ], the kth limited moment at some limit d
is E[min(X, d)k ] and the moment generating function is E[etX ].

Value
munif gives the kth raw moment, levunif gives the kth moment of the limited random variable,
and mgfunif gives the moment generating function in t.
Invalid arguments will result in return value NaN, with a warning.

Author(s)
Vincent Goulet <[email protected]>, Christophe Dutang
114 unroll

References
https://en.wikipedia.org/wiki/Uniform_distribution_%28continuous%29

See Also
Uniform.

Examples
munif(-1)
munif(1:5)
levunif(3, order=1:5)
levunif(3, 2, 4)
mgfunif(1, 1, 2)

unroll Display a Two-Dimension Version of a Matrix of Vectors

Description
Displays all values of a matrix of vectors by “unrolling” the object vertically or horizontally.

Usage
unroll(x, bycol = FALSE, drop = TRUE)

Arguments
x a list of vectors with a dim attribute of length 0, 1 or 2.
bycol logical; whether to unroll horizontally (FALSE) or vertically (TRUE).
drop logical; if TRUE, the result is coerced to the lowest possible dimension.

Details
unroll returns a matrix where elements of x are concatenated (“unrolled”) by row (bycol = FALSE)
or by column (bycol = TRUE). NA is used to make rows/columns of equal length.
Vectors and one dimensional arrays are coerced to row matrices.

Value
A vector or matrix.

Author(s)
Vincent Goulet <[email protected]> and Louis-Philippe Pouliot
VaR 115

See Also
This function was originally written for use in severity.portfolio.

Examples
x <- list(c(1:3), c(1:8), c(1:4), c(1:3))
(mat <- matrix(x, 2, 2))

unroll(mat)
unroll(mat, bycol = TRUE)

unroll(mat[1, ])
unroll(mat[1, ], drop = FALSE)

VaR Value at Risk

Description
Value at Risk.

Usage
VaR(x, ...)

Arguments
x an R object.
... further arguments passed to or from other methods.

Details
This is a generic function with, currently, only a method for objects of class "aggregateDist".

Value
An object of class numeric.

Author(s)
Vincent Goulet <[email protected]> and Tommy Ouellet

See Also
VaR.aggregateDist, aggregateDist
116 WeibullMoments

WeibullMoments Raw and Limited Moments of the Weibull Distribution

Description
Raw moments and limited moments for the Weibull distribution with parameters shape and scale.

Usage
mweibull(order, shape, scale = 1)
levweibull(limit, shape, scale = 1, order = 1)

Arguments
order order of the moment.
limit limit of the loss variable.
shape, scale shape and scale parameters, the latter defaulting to 1.

Details
The kth raw moment of the random variable X is E[X k ] and the kth limited moment at some limit
d is E[min(X, d)k ], k > −τ .

Value
mweibull gives the kth raw moment and levweibull gives the kth moment of the limited loss
variable.
Invalid arguments will result in return value NaN, with a warning.

Author(s)
Vincent Goulet <[email protected]> and Mathieu Pigeon

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
Weibull for details on the Weibull distribution and functions [dpqr]weibull.

Examples
mweibull(2, 3, 4) - mweibull(1, 3, 4)^2
levweibull(10, 3, 4, order = 2)
ZeroModifiedBinomial 117

ZeroModifiedBinomial The Zero-Modified Binomial Distribution

Description
Density function, distribution function, quantile function and random generation for the Zero-
Modified Binomial distribution with parameters size and prob, and probability at zero p0.

Usage
dzmbinom(x, size, prob, p0, log = FALSE)
pzmbinom(q, size, prob, p0, lower.tail = TRUE, log.p = FALSE)
qzmbinom(p, size, prob, p0, lower.tail = TRUE, log.p = FALSE)
rzmbinom(n, size, prob, p0)

Arguments
x vector of (strictly positive integer) quantiles.
q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
size number of trials (strictly positive integer).
prob probability of success on each trial. 0 <= prob <= 1.
p0 probability mass at zero. 0 <= p0 <= 1.
log, log.p logical; if TRUE, probabilities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].

Details
The zero-modified binomial distribution with size = n, prob = p and p0 = p0 is a discrete mixture
between a degenerate distribution at zero and a (standard) binomial. The probability mass function
is p(0) = p0 and
(1 − p0 )
p(x) = f (x)
(1 − (1 − p)n )
for x = 1, . . . , n, 0 < p ≤ 1 and 0 ≤ p0 ≤ 1, where f (x) is the probability mass function of the
binomial. The cumulative distribution function is
 
F (x) − F (0)
P (x) = p0 + (1 − p0 )
1 − F (0)

The mean is (1 − p0 )µ and the variance is (1 − p0 )σ 2 + p0 (1 − p0 )µ2 , where µ and σ 2 are the mean
and variance of the zero-truncated binomial.
In the terminology of Klugman et al. (2012), the zero-modified binomial is a member of the (a, b, 1)
class of distributions with a = −p/(1 − p) and b = (n + 1)p/(1 − p).
118 ZeroModifiedBinomial

The special case p0 == 0 is the zero-truncated binomial.

If an element of x is not integer, the result of dzmbinom is zero, with a warning.
The quantile is defined as the smallest value x such that P (x) ≥ p, where P is the distribution
function.

Value
dzmbinom gives the probability mass function, pzmbinom gives the distribution function, qzmbinom
gives the quantile function, and rzmbinom generates random deviates.
Invalid size, prob or p0 will result in return value NaN, with a warning.
The length of the result is determined by n for rzmbinom, and is the maximum of the lengths of the
numerical arguments for the other functions.

Note
Functions {d,p,q}zmbinom use {d,p,q}binom for all but the trivial input values and p(0).

Author(s)
Vincent Goulet <[email protected]>

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
dbinom for the binomial distribution.
dztbinom for the zero-truncated binomial distribution.

Examples
dzmbinom(1:5, size = 5, prob = 0.4, p0 = 0.2)
(1-0.2) * dbinom(1:5, 5, 0.4)/pbinom(0, 5, 0.4, lower = FALSE) # same

## simple relation between survival functions

pzmbinom(0:5, 5, 0.4, p0 = 0.2, lower = FALSE)
(1-0.2) * pbinom(0:5, 5, 0.4, lower = FALSE) /
pbinom(0, 5, 0.4, lower = FALSE) # same

qzmbinom(pzmbinom(1:10, 10, 0.6, p0 = 0.1), 10, 0.6, p0 = 0.1)

n <- 8; p <- 0.3; p0 <- 0.025

x <- 0:n
title <- paste("ZM Binomial(", n, ", ", p, ", p0 = ", p0,
") and Binomial(", n, ", ", p,") PDF",
sep = "")
plot(x, dzmbinom(x, n, p, p0), type = "h", lwd = 2, ylab = "p(x)",
main = title)
ZeroModifiedGeometric 119

points(x, dbinom(x, n, p), pch = 19, col = "red")

legend("topright", c("ZT binomial probabilities", "Binomial probabilities"),
col = c("black", "red"), lty = c(1, 0), lwd = 2, pch = c(NA, 19))

ZeroModifiedGeometric The Zero-Modified Geometric Distribution

Description
Density function, distribution function, quantile function and random generation for the Zero-
Modified Geometric distribution with parameter prob and arbitrary probability at zero p0.

Usage
dzmgeom(x, prob, p0, log = FALSE)
pzmgeom(q, prob, p0, lower.tail = TRUE, log.p = FALSE)
qzmgeom(p, prob, p0, lower.tail = TRUE, log.p = FALSE)
rzmgeom(n, prob, p0)

Arguments
x vector of (strictly positive integer) quantiles.
q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
prob parameter. 0 < prob <= 1.
p0 probability mass at zero. 0 <= p0 <= 1.
log, log.p logical; if TRUE, probabilities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].

Details
The zero-modified geometric distribution with prob = p and p0 = p0 is a discrete mixture between a
degenerate distribution at zero and a (standard) geometric. The probability mass function is p(0) =
p0 and
(1 − p0 )
p(x) = f (x)
(1 − p)
for x = 1, 2, . . ., 0 < p < 1 and 0 ≤ p0 ≤ 1, where f (x) is the probability mass function of the
geometric. The cumulative distribution function is
 
F (x) − F (0)
P (x) = p0 + (1 − p0 )
1 − F (0)

The mean is (1 − p0 )µ and the variance is (1 − p0 )σ 2 + p0 (1 − p0 )µ2 , where µ and σ 2 are the mean
and variance of the zero-truncated geometric.
120 ZeroModifiedGeometric

In the terminology of Klugman et al. (2012), the zero-modified geometric is a member of the
(a, b, 1) class of distributions with a = 1 − p and b = 0.
The special case p0 == 0 is the zero-truncated geometric.
If an element of x is not integer, the result of dzmgeom is zero, with a warning.
The quantile is defined as the smallest value x such that P (x) ≥ p, where P is the distribution
function.

Value
dzmgeom gives the (log) probability mass function, pzmgeom gives the (log) distribution function,
qzmgeom gives the quantile function, and rzmgeom generates random deviates.
Invalid prob or p0 will result in return value NaN, with a warning.
The length of the result is determined by n for rzmgeom, and is the maximum of the lengths of the
numerical arguments for the other functions.

Note
Functions {d,p,q}zmgeom use {d,p,q}geom for all but the trivial input values and p(0).

Author(s)
Vincent Goulet <[email protected]>

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
dgeom for the geometric distribution.
dztgeom for the zero-truncated geometric distribution.
dzmnbinom for the zero-modified negative binomial, of which the zero-modified geometric is a
special case.

Examples
p <- 1/(1 + 0.5)
dzmgeom(1:5, prob = p, p0 = 0.6)
(1-0.6) * dgeom(1:5, p)/pgeom(0, p, lower = FALSE) # same

## simple relation between survival functions

pzmgeom(0:5, p, p0 = 0.2, lower = FALSE)
(1-0.2) * pgeom(0:5, p, lower = FALSE)/pgeom(0, p, lower = FALSE) # same

qzmgeom(pzmgeom(0:10, 0.3, p0 = 0.6), 0.3, p0 = 0.6)

ZeroModifiedLogarithmic 121

ZeroModifiedLogarithmic
The Zero-Modified Logarithmic Distribution

Description
Density function, distribution function, quantile function and random generation for the Zero-
Modified Logarithmic (or log-series) distribution with parameter prob and arbitrary probability
at zero p0.

Usage
dzmlogarithmic(x, prob, p0, log = FALSE)
pzmlogarithmic(q, prob, p0, lower.tail = TRUE, log.p = FALSE)
qzmlogarithmic(p, prob, p0, lower.tail = TRUE, log.p = FALSE)
rzmlogarithmic(n, prob, p0)

Arguments
x vector of (strictly positive integer) quantiles.
q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
prob parameter. 0 <= prob < 1.
p0 probability mass at zero. 0 <= p0 <= 1.
log, log.p logical; if TRUE, probabilities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].

Details
The zero-modified logarithmic distribution with prob = p and p0 = p0 is a discrete mixture between
a degenerate distribution at zero and a (standard) logarithmic. The probability mass function is
p(0) = p0 and
p(x) = (1 − p0 )f (x)
for x = 1, 2, . . ., 0 < p < 1 and 0 ≤ p0 ≤ 1, where f (x) is the probability mass function of the
logarithmic. The cumulative distribution function is

P (x) = p0 + (1 − p0 )F (x)

The special case p0 == 0 is the standard logarithmic.

The zero-modified logarithmic distribution is the limiting case of the zero-modified negative bino-
mial distribution with size parameter equal to 0. Note that in this context, parameter prob generally
corresponds to the probability of failure of the zero-truncated negative binomial.
122 ZeroModifiedLogarithmic

If an element of x is not integer, the result of dzmlogarithmic is zero, with a warning.

The quantile is defined as the smallest value x such that F (x) ≥ p, where F is the distribution
function.

Value

dzmlogarithmic gives the probability mass function, pzmlogarithmic gives the distribution func-
tion, qzmlogarithmic gives the quantile function, and rzmlogarithmic generates random devi-
ates.
Invalid prob or p0 will result in return value NaN, with a warning.
The length of the result is determined by n for rzmlogarithmic, and is the maximum of the lengths
of the numerical arguments for the other functions.

Note

Functions {d,p,q}zmlogarithmic use {d,p,q}logarithmic for all but the trivial input values
and p(0).

Author(s)

Vincent Goulet <[email protected]>

References

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also

dlogarithmic for the logarithmic distribution.

dztnbinom for the zero modified negative binomial distribution.

Examples
p <- 1/(1 + 0.5)
dzmlogarithmic(1:5, prob = p, p0 = 0.6)
(1-0.6) * dlogarithmic(1:5, p)/plogarithmic(0, p, lower = FALSE) # same

## simple relation between survival functions

pzmlogarithmic(0:5, p, p0 = 0.2, lower = FALSE)
(1-0.2) * plogarithmic(0:5, p, lower = FALSE)/plogarithmic(0, p, lower = FALSE) # same

qzmlogarithmic(pzmlogarithmic(0:10, 0.3, p0 = 0.6), 0.3, p0 = 0.6)

ZeroModifiedNegativeBinomial 123

ZeroModifiedNegativeBinomial
The Zero-Modified Negative Binomial Distribution

Description
Density function, distribution function, quantile function and random generation for the Zero-
Modified Negative Binomial distribution with parameters size and prob, and arbitrary probability
at zero p0.

Usage
dzmnbinom(x, size, prob, p0, log = FALSE)
pzmnbinom(q, size, prob, p0, lower.tail = TRUE, log.p = FALSE)
qzmnbinom(p, size, prob, p0, lower.tail = TRUE, log.p = FALSE)
rzmnbinom(n, size, prob, p0)

Arguments
x vector of (strictly positive integer) quantiles.
q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
size target for number of successful trials, or dispersion parameter. Must be positive,
need not be integer.
prob parameter. 0 < prob <= 1.
p0 probability mass at zero. 0 <= p0 <= 1.
log, log.p logical; if TRUE, probabilities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].

Details
The zero-modified negative binomial distribution with size = r, prob = p and p0 = p0 is a
discrete mixture between a degenerate distribution at zero and a (standard) negative binomial. The
probability mass function is p(0) = p0 and

(1 − p0 )
p(x) = f (x)
(1 − pr )

for x = 1, 2, . . ., r ≥ 0, 0 < p < 1 and 0 ≤ p0 ≤ 1, where f (x) is the probability mass function of
the negative binomial. The cumulative distribution function is
 
F (x) − F (0)
P (x) = p0 + (1 − p0 )
1 − F (0)
124 ZeroModifiedNegativeBinomial

The mean is (1 − p0 )µ and the variance is (1 − p0 )σ 2 + p0 (1 − p0 )µ2 , where µ and σ 2 are the mean
and variance of the zero-truncated negative binomial.
In the terminology of Klugman et al. (2012), the zero-modified negative binomial is a member of
the (a, b, 1) class of distributions with a = 1 − p and b = (r − 1)(1 − p).
The special case p0 == 0 is the zero-truncated negative binomial.
The limiting case size == 0 is the zero-modified logarithmic distribution with parameters 1 -prob
and p0.
Unlike the standard negative binomial functions, parametrization through the mean mu is not sup-
ported to avoid ambiguity as to whether mu is the mean of the underlying negative binomial or the
mean of the zero-modified distribution.
If an element of x is not integer, the result of dzmnbinom is zero, with a warning.
The quantile is defined as the smallest value x such that P (x) ≥ p, where P is the distribution
function.

Value

dzmnbinom gives the (log) probability mass function, pzmnbinom gives the (log) distribution func-
tion, qzmnbinom gives the quantile function, and rzmnbinom generates random deviates.
Invalid size, prob or p0 will result in return value NaN, with a warning.
The length of the result is determined by n for rzmnbinom, and is the maximum of the lengths of
the numerical arguments for the other functions.

Note

Functions {d,p,q}zmnbinom use {d,p,q}nbinom for all but the trivial input values and p(0).

Author(s)

Vincent Goulet <[email protected]>

References

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also

dnbinom for the negative binomial distribution.

dztnbinom for the zero-truncated negative binomial distribution.
dzmgeom for the zero-modified geometric and dzmlogarithmic for the zero-modified logarithmic,
which are special cases of the zero-modified negative binomial.
ZeroModifiedPoisson 125

Examples
## Example 6.3 of Klugman et al. (2012)
p <- 1/(1 + 0.5)
dzmnbinom(1:5, size = 2.5, prob = p, p0 = 0.6)
(1-0.6) * dnbinom(1:5, 2.5, p)/pnbinom(0, 2.5, p, lower = FALSE) # same

## simple relation between survival functions

pzmnbinom(0:5, 2.5, p, p0 = 0.2, lower = FALSE)
(1-0.2) * pnbinom(0:5, 2.5, p, lower = FALSE) /
pnbinom(0, 2.5, p, lower = FALSE) # same

qzmnbinom(pzmnbinom(0:10, 2.5, 0.3, p0 = 0.1), 2.5, 0.3, p0 = 0.1)

ZeroModifiedPoisson The Zero-Modified Poisson Distribution

Description
Density function, distribution function, quantile function, random generation for the Zero-Modified
Poisson distribution with parameter lambda and arbitrary probability at zero p0.

Usage
dzmpois(x, lambda, p0, log = FALSE)
pzmpois(q, lambda, p0, lower.tail = TRUE, log.p = FALSE)
qzmpois(p, lambda, p0, lower.tail = TRUE, log.p = FALSE)
rzmpois(n, lambda, p0)

Arguments
x vector of (strictly positive integer) quantiles.
q vector of quantiles.
p vector of probabilities.
n number of values to return.
lambda vector of (non negative) means.
p0 probability mass at zero. 0 <= p0 <= 1.
log, log.p logical; if TRUE, probabilities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].

Details
The zero-modified Poisson distribution is a discrete mixture between a degenerate distribution at
zero and a (standard) Poisson. The probability mass function is p(0) = p0 and

(1 − p0 )
p(x) = f (x)
(1 − e−λ )
126 ZeroModifiedPoisson

for x = 1, 2, ..., λ > 0 and 0 ≤ p0 ≤ 1, where f (x) is the probability mass function of the Poisson.
The cumulative distribution function is
 
F (x) − F (0)
P (x) = p0 + (1 − p0 ) .
1 − F (0)

The mean is (1 − p0 )µ and the variance is (1 − p0 )σ 2 + p0 (1 − p0 )µ2 , where µ and σ 2 are the mean
and variance of the zero-truncated Poisson.
In the terminology of Klugman et al. (2012), the zero-modified Poisson is a member of the (a, b, 1)
class of distributions with a = 0 and b = λ.
The special case p0 == 0 is the zero-truncated Poisson.
If an element of x is not integer, the result of dzmpois is zero, with a warning.
The quantile is defined as the smallest value x such that P (x) ≥ p, where P is the distribution
function.

Value
dzmpois gives the (log) probability mass function, pzmpois gives the (log) distribution function,
qzmpois gives the quantile function, and rzmpois generates random deviates.
Invalid lambda or p0 will result in return value NaN, with a warning.
The length of the result is determined by n for rzmpois, and is the maximum of the lengths of the
numerical arguments for the other functions.

Note
Functions {d,p,q}zmpois use {d,p,q}pois for all but the trivial input values and p(0).

Author(s)
Vincent Goulet <[email protected]>

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
dpois for the standard Poisson distribution.
dztpois for the zero-truncated Poisson distribution.

Examples
dzmpois(0:5, lambda = 1, p0 = 0.2)
(1-0.2) * dpois(0:5, lambda = 1)/ppois(0, 1, lower = FALSE) # same

## simple relation between survival functions

pzmpois(0:5, 1, p0 = 0.2, lower = FALSE)
ZeroTruncatedBinomial 127

(1-0.2) * ppois(0:5, 1, lower = FALSE) /

ppois(0, 1, lower = FALSE) # same

qzmpois(pzmpois(0:10, 1, p0 = 0.7), 1, p0 = 0.7)

ZeroTruncatedBinomial The Zero-Truncated Binomial Distribution

Description
Density function, distribution function, quantile function and random generation for the Zero-
Truncated Binomial distribution with parameters size and prob.

Usage
dztbinom(x, size, prob, log = FALSE)
pztbinom(q, size, prob, lower.tail = TRUE, log.p = FALSE)
qztbinom(p, size, prob, lower.tail = TRUE, log.p = FALSE)
rztbinom(n, size, prob)

Arguments
x vector of (strictly positive integer) quantiles.
q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
size number of trials (strictly positive integer).
prob probability of success on each trial. 0 <= prob <= 1.
log, log.p logical; if TRUE, probabilities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].

Details
The zero-truncated binomial distribution with size = n and prob = p has probability mass function
  x
n p (1 − p)n−x
p(x) =
x 1 − (1 − p)n

for x = 1, . . . , n and 0 < p ≤ 1, and p(1) = 1 when p = 0. The cumulative distribution function is

F (x) − F (0)
P (x) = ,
1 − F (0)

where F (x) is the distribution function of the standard binomial.

The mean is np/(1−(1−p)n ) and the variance is np[(1−p)−(1−p+np)(1−p)n ]/[1−(1−p)n ]2 .
128 ZeroTruncatedBinomial

In the terminology of Klugman et al. (2012), the zero-truncated binomial is a member of the (a, b, 1)
class of distributions with a = −p/(1 − p) and b = (n + 1)p/(1 − p).
If an element of x is not integer, the result of dztbinom is zero, with a warning.
The quantile is defined as the smallest value x such that P (x) ≥ p, where P is the distribution
function.

Value
dztbinom gives the probability mass function, pztbinom gives the distribution function, qztbinom
gives the quantile function, and rztbinom generates random deviates.
Invalid size or prob will result in return value NaN, with a warning.
The length of the result is determined by n for rztbinom, and is the maximum of the lengths of the
numerical arguments for the other functions.

Note
Functions {d,p,q}ztbinom use {d,p,q}binom for all but the trivial input values and p(0).
rztbinom uses the simple inversion algorithm suggested by Peter Dalgaard on the r-help mailing
list on 1 May 2005 (https://stat.ethz.ch/pipermail/r-help/2005-May/070680.html).

Author(s)
Vincent Goulet <[email protected]>

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
dbinom for the binomial distribution.

Examples
dztbinom(1:5, size = 5, prob = 0.4)
dbinom(1:5, 5, 0.4)/pbinom(0, 5, 0.4, lower = FALSE) # same

pztbinom(1, 2, prob = 0) # point mass at 1

qztbinom(pztbinom(1:10, 10, 0.6), 10, 0.6)

n <- 8; p <- 0.3

x <- 0:n
title <- paste("ZT Binomial(", n, ", ", p,
") and Binomial(", n, ", ", p,") PDF",
sep = "")
plot(x, dztbinom(x, n, p), type = "h", lwd = 2, ylab = "p(x)",
main = title)
ZeroTruncatedGeometric 129

points(x, dbinom(x, n, p), pch = 19, col = "red")

legend("topright", c("ZT binomial probabilities", "Binomial probabilities"),
col = c("black", "red"), lty = c(1, 0), lwd = 2, pch = c(NA, 19))

ZeroTruncatedGeometric
The Zero-Truncated Geometric Distribution

Description
Density function, distribution function, quantile function and random generation for the Zero-
Truncated Geometric distribution with parameter prob.

Usage
dztgeom(x, prob, log = FALSE)
pztgeom(q, prob, lower.tail = TRUE, log.p = FALSE)
qztgeom(p, prob, lower.tail = TRUE, log.p = FALSE)
rztgeom(n, prob)

Arguments
x vector of (strictly positive integer) quantiles.
q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
prob parameter. 0 < prob <= 1.
log, log.p logical; if TRUE, probabilities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].

Details
The zero-truncated geometric distribution with prob = p has probability mass function
p(x) = p(1 − p)x−1
for x = 1, 2, . . . and 0 < p < 1, and p(1) = 1 when p = 1. The cumulative distribution function is
F (x) − F (0)
P (x) = ,
1 − F (0)
where F (x) is the distribution function of the standard geometric.
The mean is 1/p and the variance is (1 − p)/p2 .
In the terminology of Klugman et al. (2012), the zero-truncated geometric is a member of the
(a, b, 1) class of distributions with a = 1 − p and b = 0.
If an element of x is not integer, the result of dztgeom is zero, with a warning.
The quantile is defined as the smallest value x such that P (x) ≥ p, where P is the distribution
function.
130 ZeroTruncatedGeometric

Value

dztgeom gives the (log) probability mass function, pztgeom gives the (log) distribution function,
qztgeom gives the quantile function, and rztgeom generates random deviates.
Invalid prob will result in return value NaN, with a warning.
The length of the result is determined by n for rztgeom, and is the maximum of the lengths of the
numerical arguments for the other functions.

Note

Functions {d,p,q}ztgeom use {d,p,q}geom for all but the trivial input values and p(0).
rztgeom uses the simple inversion algorithm suggested by Peter Dalgaard on the r-help mailing list
on 1 May 2005 (https://stat.ethz.ch/pipermail/r-help/2005-May/070680.html).

Author(s)

Vincent Goulet <[email protected]>

References

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also

dgeom for the geometric distribution.

dztnbinom for the zero-truncated negative binomial, of which the zero-truncated geometric is a
special case.

Examples

p <- 1/(1 + 0.5)

dztgeom(c(1, 2, 3), prob = p)
dgeom(c(1, 2, 3), p)/pgeom(0, p, lower = FALSE) # same
dgeom(c(1, 2, 3) - 1, p) # same

pztgeom(1, prob = 1) # point mass at 1

qztgeom(pztgeom(1:10, 0.3), 0.3)

ZeroTruncatedNegativeBinomial 131

ZeroTruncatedNegativeBinomial
The Zero-Truncated Negative Binomial Distribution

Description
Density function, distribution function, quantile function and random generation for the Zero-
Truncated Negative Binomial distribution with parameters size and prob.

Usage
dztnbinom(x, size, prob, log = FALSE)
pztnbinom(q, size, prob, lower.tail = TRUE, log.p = FALSE)
qztnbinom(p, size, prob, lower.tail = TRUE, log.p = FALSE)
rztnbinom(n, size, prob)

Arguments
x vector of (strictly positive integer) quantiles.
q vector of quantiles.
p vector of probabilities.
n number of observations. If length(n) > 1, the length is taken to be the number
required.
size target for number of successful trials, or dispersion parameter. Must be positive,
need not be integer.
prob parameter. 0 < prob <= 1.
log, log.p logical; if TRUE, probabilities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].

Details
The zero-truncated negative binomial distribution with size = r and prob = p has probability
mass function
Γ(x + r)pr (1 − p)x
p(x) =
Γ(r)x!(1 − pr )
for x = 1, 2, . . ., r ≥ 0 and 0 < p < 1, and p(1) = 1 when p = 1. The cumulative distribution
function is
F (x) − F (0)
P (x) = ,
1 − F (0)
where F (x) is the distribution function of the standard negative binomial.
The mean is r(1 − p)/(p(1 − pr )) and the variance is [r(1 − p)(1 − (1 + r(1 − p))pr )]/[p(1 − pr )]2 .
In the terminology of Klugman et al. (2012), the zero-truncated negative binomial is a member of
the (a, b, 1) class of distributions with a = 1 − p and b = (r − 1)(1 − p).
132 ZeroTruncatedNegativeBinomial

The limiting case size == 0 is the logarithmic distribution with parameter 1 -prob.
Unlike the standard negative binomial functions, parametrization through the mean mu is not sup-
ported to avoid ambiguity as to whether mu is the mean of the underlying negative binomial or the
mean of the zero-truncated distribution.
If an element of x is not integer, the result of dztnbinom is zero, with a warning.
The quantile is defined as the smallest value x such that P (x) ≥ p, where P is the distribution
function.

Value
dztnbinom gives the (log) probability mass function, pztnbinom gives the (log) distribution func-
tion, qztnbinom gives the quantile function, and rztnbinom generates random deviates.
Invalid size or prob will result in return value NaN, with a warning.
The length of the result is determined by n for rztnbinom, and is the maximum of the lengths of
the numerical arguments for the other functions.

Note
Functions {d,p,q}ztnbinom use {d,p,q}nbinom for all but the trivial input values and p(0).
rztnbinom uses the simple inversion algorithm suggested by Peter Dalgaard on the r-help mailing
list on 1 May 2005 (https://stat.ethz.ch/pipermail/r-help/2005-May/070680.html).

Author(s)
Vincent Goulet <[email protected]>

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
dnbinom for the negative binomial distribution.
dztgeom for the zero-truncated geometric and dlogarithmic for the logarithmic, which are special
cases of the zero-truncated negative binomial.

Examples
## Example 6.3 of Klugman et al. (2012)
p <- 1/(1 + 0.5)
dztnbinom(c(1, 2, 3), size = 2.5, prob = p)
dnbinom(c(1, 2, 3), 2.5, p)/pnbinom(0, 2.5, p, lower = FALSE) # same

pztnbinom(1, 2, prob = 1) # point mass at 1

dztnbinom(2, size = 1, 0.25) # == dztgeom(2, 0.25)
dztnbinom(2, size = 0, 0.25) # == dlogarithmic(2, 0.75)
ZeroTruncatedPoisson 133

qztnbinom(pztnbinom(1:10, 2.5, 0.3), 2.5, 0.3)

x <- rztnbinom(1000, size = 2.5, prob = 0.4)

y <- sort(unique(x))
plot(y, table(x)/length(x), type = "h", lwd = 2,
pch = 19, col = "black", xlab = "x", ylab = "p(x)",
main = "Empirical vs theoretical probabilities")
points(y, dztnbinom(y, size = 2.5, prob = 0.4),
pch = 19, col = "red")
legend("topright", c("empirical", "theoretical"),
lty = c(1, NA), lwd = 2, pch = c(NA, 19), col = c("black", "red"))

ZeroTruncatedPoisson The Zero-Truncated Poisson Distribution

Description
Density function, distribution function, quantile function, random generation for the Zero-Truncated
Poisson distribution with parameter lambda.

Usage
dztpois(x, lambda, log = FALSE)
pztpois(q, lambda, lower.tail = TRUE, log.p = FALSE)
qztpois(p, lambda, lower.tail = TRUE, log.p = FALSE)
rztpois(n, lambda)

Arguments
x vector of (strictly positive integer) quantiles.
q vector of quantiles.
p vector of probabilities.
n number of values to return.
lambda vector of (non negative) means.
log, log.p logical; if TRUE, probabilities p are returned as log(p).
lower.tail logical; if TRUE (default), probabilities are P [X ≤ x], otherwise, P [X > x].

Details
The zero-truncated Poisson distribution has probability mass function

e−/lambda λx λx
p(x) = −λ
=
x!(1 − e ) x!(eλ − 1)
for x = 1, 2, ..., and p(1) = 1 when λ = 0. The cumulative distribution function is
F (x) − F (0)
P (x) = ,
1 − F (0)
134 ZeroTruncatedPoisson

where F (x) is the distribution function of the standard Poisson.

The mean is λ/(1 − e−λ )2 and the variance is λ[1 − (λ + 1)e−λ ]/(1 − e−λ )2 .
In the terminology of Klugman et al. (2012), the zero-truncated Poisson is a member of the (a, b, 1)
class of distributions with a = 0 and b = λ.
If an element of x is not integer, the result of dztpois is zero, with a warning.
The quantile is defined as the smallest value x such that P (x) ≥ p, where P is the distribution
function.

Value
dztpois gives the (log) probability mass function, pztpois gives the (log) distribution function,
qztpois gives the quantile function, and rztpois generates random deviates.
Invalid lambda will result in return value NaN, with a warning.
The length of the result is determined by n for rztpois, and is the maximum of the lengths of the
numerical arguments for the other functions.

Note
Functions {d,p,q}ztpois use {d,p,q}pois for all but the trivial input values and p(0).
rztpois uses the simple inversion algorithm suggested by Peter Dalgaard on the r-help mailing list
on 1 May 2005 (https://stat.ethz.ch/pipermail/r-help/2005-May/070680.html).

Author(s)
Vincent Goulet <[email protected]>

References
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions,
Fourth Edition, Wiley.

See Also
dpois for the standard Poisson distribution.

Examples
dztpois(1:5, lambda = 1)
dpois(1:5, lambda = 1)/ppois(0, 1, lower = FALSE) # same

pztpois(1, lambda = 0) # point mass at 1

qztpois(pztpois(1:10, 1), 1)

x <- seq(0, 8)
plot(x, dztpois(x, 2), type = "h", lwd = 2, ylab = "p(x)",
main = "Zero-Truncated Poisson(2) and Poisson(2) PDF")
points(x, dpois(x, 2), pch = 19, col = "red")
legend("topright", c("ZT Poisson probabilities", "Poisson probabilities"),
ZeroTruncatedPoisson 135

col = c("black", "red"), lty = c(1, 0), lwd = 2, pch = c(NA, 19))
Index

∗ array mde, 72
Extract.grouped.data, 35 NormalSupp, 75
∗ classes Paralogistic, 78
grouped.data, 45 Pareto, 80
∗ datagen Pareto2, 82
rcompound, 95 Pareto3, 84
rmixture, 97 Pareto4, 86
severity, 100 PhaseType, 88
simul, 101 PoissonInverseGaussian, 90
∗ datasets SingleParameterPareto, 107
dental, 27 TransformedBeta, 108
gdental, 40 TransformedGamma, 111
hachemeister, 49 UniformSupp, 113
∗ distribution WeibullMoments, 116
aggregateDist, 6 ZeroModifiedBinomial, 117
betaint, 11 ZeroModifiedGeometric, 119
BetaMoments, 13 ZeroModifiedLogarithmic, 121
Burr, 14 ZeroModifiedNegativeBinomial, 123
ChisqSupp, 16 ZeroModifiedPoisson, 125
discretize, 28 ZeroTruncatedBinomial, 127
ExponentialSupp, 33 ZeroTruncatedGeometric, 129
FellerPareto, 36 ZeroTruncatedNegativeBinomial, 131
GammaSupp, 39 ZeroTruncatedPoisson, 133
GeneralizedBeta, 40 ∗ dplot
GeneralizedPareto, 42 elev, 30
Gumbel, 47 hist.grouped.data, 49
hist.grouped.data, 49 ogive, 76
InverseBurr, 51 ∗ hplot
InverseExponential, 53 elev, 30
InverseGamma, 54 hist.grouped.data, 49
InverseGaussian, 56 ogive, 76
InverseParalogistic, 59 ∗ htest
InversePareto, 60 mde, 72
InverseTransformedGamma, 62 ∗ manip
InverseWeibull, 64 Extract.grouped.data, 35
Logarithmic, 66 severity, 100
Loggamma, 68 unroll, 114
Loglogistic, 69 ∗ math
LognormalMoments, 71 betaint, 11

136
INDEX 137

∗ methods coverage, 24
grouped.data, 45 CTE, 26
simul.summaries, 104 CTE.aggregateDist, 10
∗ models curve, 28, 99
aggregateDist, 6
cm, 18 data.frame, 45, 46
coverage, 24 dbeta, 22
discretize, 28 dbinom, 8, 22, 118, 128
ruin, 98 dburr, 88
simul.summaries, 104 dburr (Burr), 14
∗ optimize dental, 27
adjCoef, 4 dexp, 99
∗ univar dfpareto, 110
adjCoef, 4 dfpareto (FellerPareto), 36
CTE, 26 dgamma, 22, 99
emm, 32 dgenbeta (GeneralizedBeta), 40
mean.grouped.data, 74 dgenpareto (GeneralizedPareto), 42
quantile.aggregateDist, 93 dgeom, 8, 120, 130
quantile.grouped.data, 94 dgumbel (Gumbel), 47
VaR, 115 diff.aggregateDist (aggregateDist), 6
[.data.frame, 36 dim, 114
[.grouped.data, 46 dinvburr (InverseBurr), 51
[.grouped.data (Extract.grouped.data), dinvexp (InverseExponential), 53
35 dinvgamma, 58
[<-.grouped.data dinvgamma (InverseGamma), 54
(Extract.grouped.data), 35 dinvgauss, 91, 92
dinvgauss (InverseGaussian), 56
adjCoef, 4 dinvparalogis (InverseParalogistic), 59
aggregate.portfolio (simul.summaries), dinvpareto (InversePareto), 60
104 dinvtrgamma (InverseTransformedGamma),
aggregateDist, 6, 26, 27, 29, 93, 115 62
approxfun, 77 dinvweibull (InverseWeibull), 64
as.data.frame, 18 discretise (discretize), 28
as.integer, 35 discretize, 10, 28
axis, 50 dlgamma (Loggamma), 68
dlgompertz (InverseWeibull), 64
besselK, 91 dllogis, 86
Beta, 14 dllogis (Loglogistic), 69
betaint, 11, 16, 38, 44, 52, 60, 71, 79, 81, 83, dlogarithmic, 8, 122, 132
85, 88, 110 dlogarithmic (Logarithmic), 66
BetaMoments, 13 dnbinom, 8, 22, 124, 132
Burr, 14, 87, 109 dnorm, 22
dparalogis (Paralogistic), 78
ChisqSupp, 16 dpareto, 84, 108
Chisquare, 17 dpareto (Pareto), 80
class, 100, 103, 104 dpareto1, 81
cm, 18 dpareto1 (SingleParameterPareto), 107
colMeans, 32 dpareto2, 81
Coverage (coverage), 24 dpareto2 (Pareto2), 82
138 INDEX

dpareto3, 71 frequency.portfolio (simul.summaries),

dpareto3 (Pareto3), 84 104
dpareto4, 16 function, 31, 77
dpareto4 (Pareto4), 86
dpearson6 (TransformedBeta), 108 Gamma, 112
dphtype, 99 gamma, 12, 37, 41, 43, 55, 63, 68, 109, 112
dphtype (PhaseType), 88 GammaDist, 40
dpig (PoissonInverseGaussian), 90 GammaSupp, 39
dpois, 8, 92, 126, 134 gdental, 40
dpoisinvgauss (PoissonInverseGaussian), generalized Pareto, 110
90 GeneralizedBeta, 40
dtrbeta, 38 GeneralizedPareto, 42
dtrbeta (TransformedBeta), 108 grouped.data, 31, 36, 40, 45, 75, 77, 95
dtrgamma (TransformedGamma), 111 Gumbel, 47
dzmbinom (ZeroModifiedBinomial), 117
dzmgeom, 124 hachemeister, 49
dzmgeom (ZeroModifiedGeometric), 119 hist, 45, 46, 49, 51
dzmlogarithmic, 124 hist.default, 49, 51
dzmlogarithmic hist.grouped.data, 49
(ZeroModifiedLogarithmic), 121
inverse Burr, 110
dzmnbinom, 120
Inverse Exponential, 55, 63, 65
dzmnbinom
Inverse Gamma, 63
(ZeroModifiedNegativeBinomial),
Inverse Paralogistic, 52
123
inverse paralogistic, 110
dzmpois (ZeroModifiedPoisson), 125
Inverse Pareto, 43, 52
dztbinom, 118
inverse Pareto, 110
dztbinom (ZeroTruncatedBinomial), 127
Inverse Weibull, 63
dztgeom, 120, 132
InverseBurr, 51
dztgeom (ZeroTruncatedGeometric), 129
InverseExponential, 53
dztnbinom, 67, 122, 124, 130
InverseGamma, 54
dztnbinom
InverseGaussian, 56
(ZeroTruncatedNegativeBinomial),
InverseParalogistic, 59
131
InversePareto, 60
dztpois, 126
InverseTransformedGamma, 62
dztpois (ZeroTruncatedPoisson), 133
InverseWeibull, 64
elev, 30 knots.elev (elev), 30
emm, 32, 75 knots.ogive (ogive), 76
Exponential, 34, 112
ExponentialSupp, 33 levbeta (BetaMoments), 13
expression, 96, 97, 102 levburr (Burr), 14
Extract.grouped.data, 35 levchisq (ChisqSupp), 16
levexp (ExponentialSupp), 33
Feller-Pareto, 83, 85, 87 levfpareto (FellerPareto), 36
FellerPareto, 36 levgamma (GammaSupp), 39
formals, 25 levgenbeta (GeneralizedBeta), 40
format, 19 levgenpareto (GeneralizedPareto), 42
formula, 18, 23 levinvburr (InverseBurr), 51
INDEX 139

levinvexp (InverseExponential), 53 mgamma (GammaSupp), 39

levinvgamma (InverseGamma), 54 mgenbeta (GeneralizedBeta), 40
levinvgauss (InverseGaussian), 56 mgenpareto (GeneralizedPareto), 42
levinvparalogis (InverseParalogistic), mgfchisq (ChisqSupp), 16
59 mgfexp (ExponentialSupp), 33
levinvpareto (InversePareto), 60 mgfgamma (GammaSupp), 39
levinvtrgamma mgfgumbel (Gumbel), 47
(InverseTransformedGamma), 62 mgfinvgamma (InverseGamma), 54
levinvweibull (InverseWeibull), 64 mgfinvgauss (InverseGaussian), 56
levlgamma (Loggamma), 68 mgfnorm (NormalSupp), 75
levlgompertz (InverseWeibull), 64 mgfphtype (PhaseType), 88
levllogis (Loglogistic), 69 mgfunif (UniformSupp), 113
levlnorm (LognormalMoments), 71 mgumbel (Gumbel), 47
levparalogis (Paralogistic), 78 minvburr (InverseBurr), 51
levpareto (Pareto), 80 minvexp (InverseExponential), 53
levpareto1 (SingleParameterPareto), 107 minvgamma (InverseGamma), 54
levpareto2 (Pareto2), 82 minvgauss (InverseGaussian), 56
levpareto3 (Pareto3), 84 minvparalogis (InverseParalogistic), 59
levpareto4 (Pareto4), 86 minvpareto (InversePareto), 60
levpearson6 (TransformedBeta), 108 minvtrgamma (InverseTransformedGamma),
levtrbeta, 12 62
levtrbeta (TransformedBeta), 108 minvweibull (InverseWeibull), 64
levtrgamma (TransformedGamma), 111 mlgamma (Loggamma), 68
levunif (UniformSupp), 113 mlgompertz (InverseWeibull), 64
levweibull (WeibullMoments), 116 mllogis (Loglogistic), 69
lines, 4 mlnorm (LognormalMoments), 71
lm, 18, 19, 23 mnorm (NormalSupp), 75
lm.fit, 20 mparalogis (Paralogistic), 78
lm.wfit, 20 mpareto (Pareto), 80
log-series (Logarithmic), 66 mpareto1 (SingleParameterPareto), 107
Logarithmic, 66 mpareto2 (Pareto2), 82
logarithmic, 132 mpareto3 (Pareto3), 84
Loggamma, 68 mpareto4 (Pareto4), 86
Loglogistic, 15, 52, 69 mpearson6 (TransformedBeta), 108
loglogistic, 85, 109 mphtype (PhaseType), 88
Lognormal, 72 mtrbeta (TransformedBeta), 108
LognormalMoments, 71 mtrgamma (TransformedGamma), 111
munif (UniformSupp), 113
mbeta (BetaMoments), 13 mweibull (WeibullMoments), 116
mburr (Burr), 14
mchisq (ChisqSupp), 16 Normal, 76
Mde (mde), 72 NormalSupp, 75
mde, 72
mean, 33 ogive, 76, 95
mean.aggregateDist, 10 optim, 73
mean.aggregateDist (aggregateDist), 6
mean.grouped.data, 33, 74 Paralogistic, 15, 78
mexp (ExponentialSupp), 33 paralogistic, 109
mfpareto (FellerPareto), 36 Pareto, 15, 43, 44, 80, 83, 110
140 INDEX

Pareto I, 37, 83 predict.cm (cm), 18

Pareto II, 37, 81, 87 predict.lm, 21, 23
Pareto III, 37, 87 pretty, 45
Pareto IV, 37 print, 31, 77
Pareto2, 82 print.aggregateDist (aggregateDist), 6
Pareto3, 84 print.cm (cm), 18
Pareto4, 86 print.elev (elev), 30
pburr (Burr), 14 print.ogive (ogive), 76
Pearson6 (TransformedBeta), 108 print.portfolio (simul), 101
pfpareto (FellerPareto), 36 print.summary.cm (cm), 18
pgenbeta (GeneralizedBeta), 40 ptrbeta (TransformedBeta), 108
pgenpareto (GeneralizedPareto), 42 ptrgamma (TransformedGamma), 111
pgumbel (Gumbel), 47 pzmbinom (ZeroModifiedBinomial), 117
PhaseType, 88 pzmgeom (ZeroModifiedGeometric), 119
PIG (PoissonInverseGaussian), 90 pzmlogarithmic
pinvburr (InverseBurr), 51 (ZeroModifiedLogarithmic), 121
pinvexp (InverseExponential), 53 pzmnbinom
pinvgamma (InverseGamma), 54 (ZeroModifiedNegativeBinomial),
pinvgauss (InverseGaussian), 56 123
pinvparalogis (InverseParalogistic), 59 pzmpois (ZeroModifiedPoisson), 125
pinvpareto (InversePareto), 60 pztbinom (ZeroTruncatedBinomial), 127
pinvtrgamma (InverseTransformedGamma), pztgeom (ZeroTruncatedGeometric), 129
62 pztnbinom
pinvweibull (InverseWeibull), 64 (ZeroTruncatedNegativeBinomial),
131
plgamma (Loggamma), 68
pztpois (ZeroTruncatedPoisson), 133
plgompertz (InverseWeibull), 64
pllogis (Loglogistic), 69 qburr (Burr), 14
plogarithmic (Logarithmic), 66 qfpareto (FellerPareto), 36
plot, 4 qgenbeta (GeneralizedBeta), 40
plot.adjCoef (adjCoef), 4 qgenpareto (GeneralizedPareto), 42
plot.aggregateDist (aggregateDist), 6 qgumbel (Gumbel), 47
plot.elev (elev), 30 qinvburr (InverseBurr), 51
plot.histogram, 50 qinvexp (InverseExponential), 53
plot.ogive (ogive), 76 qinvgamma (InverseGamma), 54
plot.ruin (ruin), 98 qinvgauss (InverseGaussian), 56
PoissonInverseGaussian, 90 qinvparalogis (InverseParalogistic), 59
pparalogis (Paralogistic), 78 qinvpareto (InversePareto), 60
ppareto (Pareto), 80 qinvtrgamma (InverseTransformedGamma),
ppareto1 (SingleParameterPareto), 107 62
ppareto2 (Pareto2), 82 qinvweibull (InverseWeibull), 64
ppareto3 (Pareto3), 84 qlgamma (Loggamma), 68
ppareto4 (Pareto4), 86 qlgompertz (InverseWeibull), 64
ppearson6 (TransformedBeta), 108 qllogis (Loglogistic), 69
pphtype, 99 qlogarithmic (Logarithmic), 66
pphtype (PhaseType), 88 qparalogis (Paralogistic), 78
ppig (PoissonInverseGaussian), 90 qpareto (Pareto), 80
ppoisinvgauss (PoissonInverseGaussian), qpareto1 (SingleParameterPareto), 107
90 qpareto2 (Pareto2), 82
INDEX 141

qpareto3 (Pareto3), 84 rmixture, 97

qpareto4 (Pareto4), 86 rparalogis (Paralogistic), 78
qpearson6 (TransformedBeta), 108 rpareto (Pareto), 80
qpig (PoissonInverseGaussian), 90 rpareto1 (SingleParameterPareto), 107
qpoisinvgauss (PoissonInverseGaussian), rpareto2 (Pareto2), 82
90 rpareto3 (Pareto3), 84
qtrbeta (TransformedBeta), 108 rpareto4 (Pareto4), 86
qtrgamma (TransformedGamma), 111 rpearson6 (TransformedBeta), 108
quantile.aggregateDist, 10, 93 rphtype (PhaseType), 88
quantile.grouped.data, 77, 94 rpig (PoissonInverseGaussian), 90
qzmbinom (ZeroModifiedBinomial), 117 rpoisinvgauss (PoissonInverseGaussian),
qzmgeom (ZeroModifiedGeometric), 119 90
qzmlogarithmic rtrbeta (TransformedBeta), 108
(ZeroModifiedLogarithmic), 121 rtrgamma (TransformedGamma), 111
qzmnbinom ruin, 98
(ZeroModifiedNegativeBinomial), rzmbinom (ZeroModifiedBinomial), 117
123 rzmgeom (ZeroModifiedGeometric), 119
qzmpois (ZeroModifiedPoisson), 125 rzmlogarithmic
qztbinom (ZeroTruncatedBinomial), 127 (ZeroModifiedLogarithmic), 121
qztgeom (ZeroTruncatedGeometric), 129 rzmnbinom
qztnbinom (ZeroModifiedNegativeBinomial),
(ZeroTruncatedNegativeBinomial), 123
131 rzmpois (ZeroModifiedPoisson), 125
qztpois (ZeroTruncatedPoisson), 133 rztbinom (ZeroTruncatedBinomial), 127
rztgeom (ZeroTruncatedGeometric), 129
rburr (Burr), 14 rztnbinom
rcomphierarc, 7, 9, 10, 96–98 (ZeroTruncatedNegativeBinomial),
rcomphierarc (simul), 101 131
rcomphierarc.summaries rztpois (ZeroTruncatedPoisson), 133
(simul.summaries), 104
rcompound, 95, 98, 102, 103 severity, 100, 105
rcomppois (rcompound), 95 severity.portfolio, 101, 115
rfpareto (FellerPareto), 36 severity.portfolio (simul.summaries),
rgenbeta (GeneralizedBeta), 40 104
rgenpareto (GeneralizedPareto), 42 simpf (simul), 101
rgumbel (Gumbel), 47 simul, 101, 105, 106
rinvburr (InverseBurr), 51 simul.summaries, 103, 104
rinvexp (InverseExponential), 53 SingleParameterPareto, 107
rinvgamma (InverseGamma), 54 stepfun, 31, 77
rinvgauss (InverseGaussian), 56 subset, 19, 23
rinvparalogis (InverseParalogistic), 59 summary.aggregateDist (aggregateDist), 6
rinvpareto (InversePareto), 60 summary.cm (cm), 18
rinvtrgamma (InverseTransformedGamma), summary.elev (elev), 30
62 summary.ogive (ogive), 76
rinvweibull (InverseWeibull), 64
rlgamma (Loggamma), 68 terms, 20
rlgompertz (InverseWeibull), 64 title, 50
rllogis (Loglogistic), 69 transformed beta, 37
rlogarithmic (Logarithmic), 66 TransformedBeta, 108
142 INDEX

TransformedGamma, 111
TVaR (CTE), 26

Uniform, 114
UniformSupp, 113
unroll, 101, 114

VaR, 27, 115

VaR.aggregateDist, 115
VaR.aggregateDist
(quantile.aggregateDist), 93

Weibull, 112, 116

WeibullMoments, 116
weights.portfolio (simul.summaries), 104

ZeroModifiedBinomial, 117
ZeroModifiedGeometric, 119
ZeroModifiedLogarithmic, 121
ZeroModifiedNegativeBinomial, 123
ZeroModifiedPoisson, 125
ZeroTruncatedBinomial, 127
ZeroTruncatedGeometric, 129
ZeroTruncatedNegativeBinomial, 131
ZeroTruncatedPoisson, 133
ZMBinomial (ZeroModifiedBinomial), 117
Zmgeometric (ZeroModifiedGeometric), 119
ZMLogarithmic
(ZeroModifiedLogarithmic), 121
ZMNegativeBinomial
(ZeroModifiedNegativeBinomial),
123
ZMNegBinomial
(ZeroModifiedNegativeBinomial),
123
ZMpoisson (ZeroModifiedPoisson), 125
ZTBinomial (ZeroTruncatedBinomial), 127
ZTGeometric (ZeroTruncatedGeometric),
129
ZTNegativeBinomial
(ZeroTruncatedNegativeBinomial),
131
ZTNegBinomial
(ZeroTruncatedNegativeBinomial),
131
ZTPoisson (ZeroTruncatedPoisson), 133