# Pareto

Pareto is an R package providing methods and tools for the Pareto,
the piecewise Pareto and the generalized Pareto distribution which are
useful for pricing of reinsurance treaties:

- Distribution functions, densities and quantile functions
- Layer mean and variance
- Simulation of Pareto and piecewise Pareto distributions
- Pareto extrapolation
- Finding the Pareto alpha between the expected losses of two
layers
- Finding the Pareto alpha between an excess frequency and the
expected loss of a layer
- Maximum likelihood estimation of the alpha(s) of a (piecewise)
Pareto distribution
- Calculation of local Pareto alphas for normal, lognormal and gamma
distributions
- Fitting a Piecewise Pareto distribution to the expected losses of an
arbitrary number of reference layers and the excess frequencies at given
thresholds

Moreover, the package provides some functions for collective models
with a claim count distribution from the Panjer class (i.e. Binomial,
Poisson and Negative Binomial) and a piecewise Pareto distributed
severity:

- Layer mean, variance and standard deviation
- Simulation of losses with the collective model

All methods are also available for truncated versions of the
(piecewise) Pareto distribution.

## Installation

To install the current development version from github you need the
devtools
package and the other packages on which Pareto depends and links
to:

`install.packages(c("knitr", "rmarkdown"))`

To install Pareto run:

```
library(devtools)
install_github("ulrichriegel/Pareto", build_vignettes = TRUE)
```

## Usage

## License

This package is free and open source software, licensed under GPL.

## Thanks

To Stefan Foerster for his NPAddins which I used a lot in my daily
work and which inspired me to create this package.