Package: actuarialfitdist 0.2.3

Greg Sollenberger

actuarialfitdist: Actuarial Severity Fitting with Limits and Deductibles

Fits actuarial claim severity distributions to ground-up loss data while accounting for deductible truncation, policy-limit censoring, observation weights, optional severity scaling variables, and fixed parameters. Supports single-family and spliced body-tail models, candidate-model comparison, limited expected values, loss elimination ratios, increased limits factors, deductible and limit rating factors, valuation or depreciation adjustments, simulation, diagnostics, and uncertainty estimation. The package is designed for property and casualty actuarial applications in which analysts fit ground-up severity and translate the fitted distribution into pricing factors for limits, deductibles, and valuation provisions. For background on statistical severity modeling, see Klugman, Panjer, and Willmot (2019, ISBN:9781119523789), "Loss Models: From Data to Decisions", 5th edition.

Authors:Greg Sollenberger [aut, cre, cph]

actuarialfitdist_0.2.3.tar.gz
actuarialfitdist_0.2.3.zip(r-4.7-any)actuarialfitdist_0.2.3.zip(r-4.6-any)
actuarialfitdist_0.2.3.tar.gz(r-4.7-any)actuarialfitdist_0.2.3.tar.gz(r-4.6-any)
actuarialfitdist_0.2.3.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
actuarialfitdist/json (API)

# Install 'actuarialfitdist' in R:
install.packages('actuarialfitdist', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/gs-actuary/actuarialfitdist/issues

On CRAN:

Conda:

3.00 score 19 exports 17 dependencies

Last updated from:4a72450346. Checks:6 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK138
source / vignettesOK289
linux-releaseOK141
windows-develOK125
windows-releaseOK129
wasm-releaseOK117

Exports:bootstrap_fitcandidate_plot_datacompare_factorsdiagnose_fitexceedance_probabilityexpected_paymentfit_plot_datafit_severityfit_severity_candidatesfit_spliced_severityincreased_limits_factorlimited_expected_valueloss_elimination_ratioplot_candidate_fitsplot_fitplot_scaling_fitscaling_plot_dataseverity_factorsseverity_quantile

Dependencies:clicpp11farverggplot2gluegtableisobandlabelinglifecycleR6RColorBrewerrlangS7scalesvctrsviridisLitewithr

Actuarial Severity Fitting for Limits and Deductibles
What this package assumes | 1. Auto property-damage limit analysis | 2. Auto collision deductible analysis | 3. Homeowners deductible analysis with varying Coverage A | Scaling diagnostics | 4. Spliced body-tail fitting | Valuation or depreciation at the payment stage | Weights and fixed parameters | Hessian and bootstrap uncertainty | Custom ggplot2 and Plotly graphics | Optional terms, anomaly audits, and log-scale plots
Rendered fromactuarialfitdist.Rmdusingknitr::rmarkdown

Last update: 2026-10-28
Started: 2026-10-28

Fitting and Comparing Severity Candidates
Workflow and data interpretation | Fit, compare, and extract a selected fit | Visual comparison | Convert fits to rating factors and assess sensitivity | Excluded claims | Optimization diagnostics
Rendered fromcandidate-comparisons.Rmdusingknitr::rmarkdown

Last update: 2026-10-28
Started: 2026-10-28

Readme and manuals

Help Manual

Help pageTopics
Inspect fitted actuarial severity modelsactuarialfitdist_fit_methods AIC.actuarialfitdist_fit BIC.actuarialfitdist_fit coef.actuarialfitdist_fit confint.actuarialfitdist_fit logLik.actuarialfitdist_fit plot.actuarialfitdist_fit print.actuarialfitdist_candidates print.actuarialfitdist_fit print.summary.actuarialfitdist_fit summary.actuarialfitdist_fit vcov.actuarialfitdist_fit
Bootstrap a fitted severity modelbootstrap_fit
Data for comparing several candidate severity distributionscandidate_plot_data
Compare factor outputs side by sidecompare_factors
Diagnose fit within a severity layerdiagnose_fit
Exceedance probabilities from a fitted modelexceedance_probability
Expected payment under deductible, limit, and valuation termsexpected_payment
Data underlying observed-versus-modeled severity plotsfit_plot_data
Fit an actuarial severity distributionfit_severity
Fit and compare candidate severity distributionsfit_severity_candidates
Fit a spliced body-tail severity modelfit_spliced_severity
Increased limits factorincreased_limits_factor
Limited expected severitylimited_expected_value
Loss elimination ratioloss_elimination_ratio
Compare observed and fitted severity across candidate distributionsplot_candidate_fits
Plot censoring-aware goodness of fitplot_fit
Plot the fitted scaling relationshipplot_scaling_fit
Predict severity quantitiespredict.actuarialfitdist_fit
Data underlying the scaling relationship diagnosticscaling_plot_data
Generate actuarial severity rating factorsseverity_factors
Severity quantiles from a fitted modelseverity_quantile
Simulate from a fitted severity modelsimulate.actuarialfitdist_fit