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.
|Author||Benjamin Baumgartner [aut, cre], Riccardo Gatto [ctb, ths]|
|Date of publication||2016-12-30 19:38:40|
|Maintainer||Benjamin Baumgartner <[email protected]>|
|Package repository||View on CRAN|
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