utilityFunctionTools

P-Spline Regression for Utility Functions and Derived Measures

CRAN Package

Predicts a smooth and continuous (individual) utility function from utility points, and computes measures of intensity for risk and higher order risk measures (or any other measure computed with user-written function) based on this utility function and its derivatives according to the method introduced in Schneider (2017) .

  • Version0.1.1
  • R versionunknown
  • LicenseGPL-3
  • Needs compilation?No
  • Last release03/29/2021

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  • Imports1 package