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finiteruinprob: Computation of the Probability of Ruin Within a Finite Time Horizon
In the Cramér–Lundberg risk process perturbed by a Wiener process, this packages provides approximations to the probability of ruin within a finite time horizon. Currently, there are three methods implemented: The first one uses saddlepoint approximation (two variants are provided), the second one uses importance sampling and the third one is based on the simulation of a dual process. This last method is not very accurate and only given here for completeness.
Getting started
Browse package contents
Package details |
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| Author | Benjamin Baumgartner [aut, cre], Riccardo Gatto [ctb, ths] |
| Maintainer | Benjamin Baumgartner <benjamin@baumgrt.com> |
| License | AGPL-3 |
| Version | 0.6 |
| Package repository | View on CRAN |
| Installation |
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