Package: OpVaR
Type: Package
Title: Statistical Methods for Modeling Operational Risk
Version: 1.0.5
Date: 2018-05-29
Author: Christina Zou [aut,cre], 
	Marius Pfeuffer [aut], 
	Matthias Fischer [aut], 
	Kristina Dehler [ctb], Nicole Derfuss [ctb], Benedikt Graswald [ctb], Linda Moestel [ctb], Jixuan Wang [ctb], Leonie Wicht [ctb]
Maintainer: Christina Zou <christina.zou@maths.ox.ac.uk>
Description: Functions for computing the Value-at-Risk in compound Poisson models. 
	The implementation comprises functions for modeling loss frequencies and loss severities with plain, mixed (Frigessi et al. (2012) <doi:10.1023/A:1024072610684>) or spliced distributions using Maximum Likelihood estimation and Bayesian approaches (Ergashev et al. (2013) <doi:10.21314/JOP.2013.131>). 
	In particular, the parametrization of tail distributions includes the fitting of Tukey-type distributions (Kuo and Headrick (2014) <doi:10.1155/2014/645823>). Furthermore, the package contains the modeling of bivariate dependencies between loss severities and frequencies, Monte Carlo simulation for total loss estimation as well as a closed-form approximation based on Degen (2010) <doi:10.21314/JOP.2010.084> to determine the value-at-risk.  
License: GPL-3
Imports: evmix, VineCopula, tea, actuar, vcd, goftest, truncnorm,
        ReIns, MASS, pracma
Suggests: knitr, rmarkdown
VignetteBuilder: knitr
NeedsCompilation: no
Packaged: 2018-05-28 23:19:18 UTC; zizzy
Repository: CRAN
Date/Publication: 2018-05-29 04:59:42 UTC
