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.

AuthorBenjamin Baumgartner [aut, cre], Riccardo Gatto [ctb, ths]
Date of publication2016-12-30 19:38:40
MaintainerBenjamin Baumgartner <benjamin@baumgrt.com>
LicenseAGPL-3
Version0.6

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Files

finiteruinprob
finiteruinprob/inst
finiteruinprob/inst/CITATION
finiteruinprob/inst/doc
finiteruinprob/inst/doc/gb2016_complement.pdf
finiteruinprob/inst/doc/gb2016_complement.Rnw
finiteruinprob/NAMESPACE
finiteruinprob/R
finiteruinprob/R/rriskproc.R finiteruinprob/R/alpha.R finiteruinprob/R/psi.hat.R finiteruinprob/R/K.R finiteruinprob/R/psi.inf.R finiteruinprob/R/ruinprob.finite.imps.R finiteruinprob/R/ruinprob.finite.dsim.R finiteruinprob/R/tilt.R finiteruinprob/R/ruinprob.finite.sdp.R finiteruinprob/R/rpsim.R
finiteruinprob/vignettes
finiteruinprob/vignettes/gb2016_complement.Rnw
finiteruinprob/vignettes/gb2016_complement_domain_fig.pdf
finiteruinprob/MD5
finiteruinprob/build
finiteruinprob/build/vignette.rds
finiteruinprob/DESCRIPTION
finiteruinprob/man
finiteruinprob/man/ruinprob.finite.sdp.Rd finiteruinprob/man/ruinprob.finite.imps.Rd finiteruinprob/man/finiteruinprob-package.Rd finiteruinprob/man/ruinprob.finite.dsim.Rd finiteruinprob/man/rriskproc.Rd

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