finiteruinprob: Computation of the probability of ruin within a finite time horizon

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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
2014-05-12 01:05:28
Maintainer
Benjamin Baumgartner <benjamin@baumgrt.com>
License
AGPL-3
Version
0.4

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Man pages

finiteruinprob-package
Computation of the probability of ruin within a finite time...
rriskproc
Simulation of a risk process that is perturbed by a Wiener...
ruinprob.finite.dsim
Computation of the probability of ruin within a finite time...
ruinprob.finite.imps
Approximation of the probability of ruin within a finite time...
ruinprob.finite.sdp
Approximation of the probability of ruin within a finite time...

Files in this package

finiteruinprob
finiteruinprob/inst
finiteruinprob/inst/CITATION
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/domain.pdf
finiteruinprob/vignettes/proof.tex
finiteruinprob/MD5
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