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.

Install the latest version of this package by entering the following in R:
install.packages("finiteruinprob")
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

View on CRAN

Files

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

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