EVTfit function

EVT fit

Create an S3 object using an EVT (Extreme Value Theory) fit.

EVTfit(gamma, endpoint = NULL, sigma = NULL)

Arguments

• gamma: Vector of estimates for $\gamma$.
• endpoint: Vector of endpoints (with the same length as gamma). When NULL (default), a vector containing Inf for each value of gamma will be used.
• sigma: Vector of scale estimates for the GPD (with the same length as gamma). When NULL (default), not included in the object.

Details

See Reynkens et al. (2017) and Section 4.3 of Albrecher et al. (2017) for details.

Returns

An S3 object containing the above input arguments.

References

Albrecher, H., Beirlant, J. and Teugels, J. (2017). Reinsurance: Actuarial and Statistical Aspects, Wiley, Chichester.

Reynkens, T., Verbelen, R., Beirlant, J. and Antonio, K. (2017). "Modelling Censored Losses Using Splicing: a Global Fit Strategy With Mixed Erlang and Extreme Value Distributions". Insurance: Mathematics and Economics, 77, 65--77.

Author(s)

Tom Reynkens

See Also

SpliceFit, SpliceFitPareto, SpliceFiticPareto, SpliceFitGPD

Examples

# Create MEfit object
mefit <- MEfit(p=c(0.65,0.35), shape=c(39,58), theta=16.19, M=2)

# Create EVTfit object
evtfit <- EVTfit(gamma=c(0.76,0.64), endpoint=c(39096, Inf))

# Create SpliceFit object
splicefit <- SpliceFit(const=c(0.5,0.996), trunclower=0, t=c(1020,39096), type=c("ME","TPa","Pa"),
                       MEfit=mefit, EVTfit=evtfit)

# Show summary
summary(splicefit)