[R-sig-ins] Estimate Pareto parameter from compound distribution

[Christophe Dutang]

Dear Ralph,

I think you are looking for quantile matching estimation, which is providing in the fitdistrplus package.

Here is an example

library(actuar)
library(fitdistrplus)

data(danishuni)
x <- danishuni$Loss

args(dpareto)
summary(x)

f1 <- fitdist(x, "pareto", method="qme", probs=c(5/1000, 1/10), start = list(shape=10, scale=10))

cdfcomp(f1, do.points=FALSE, xlogscale=TRUE)


On the danish example, one should use a 3-parameter distribution such as Burr.

See also the book of Arthur Charpentier : https://www.crcpress.com/Computational-Actuarial-Science-with-R/Charpentier/9781466592599

Regards, Christophe
---------------------------------------
Christophe Dutang
LMM, UdM, Le Mans, France
web: http://dutangc.free.fr

Le 12 août 2015 à 20:38, Ralph Scherer <shearer.ra76 at gmail.com> a écrit :

> Dear list members,
> 
> I know the value of the 0.005 percentile of a compound claim distribution (Pareto/ Poisson).
> Further I know the frequency of the percentile value which is for example 1/10.
> 
> I am searching a formula and/or R code to calculate the parameter of the underlying Pareto distribution..
> Does anybody know a solution for the problem?
> 
> Best Wishes
> Ralph
> 
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