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.

Package details

AuthorBenjamin Baumgartner [aut, cre], Riccardo Gatto [ctb, ths]
MaintainerBenjamin Baumgartner <>
Package repositoryView on CRAN
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finiteruinprob documentation built on May 2, 2019, 4:02 p.m.