finiteruinprob: Computation of the Probability of Ruin Within a Finite Time Horizon
Version 0.6

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]
Date of publication2016-12-30 19:38:40
MaintainerBenjamin Baumgartner <[email protected]>
Package repositoryView on CRAN
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finiteruinprob documentation built on May 30, 2017, 8:18 a.m.