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")`

Author | Benjamin Baumgartner [aut, cre], Riccardo Gatto [ctb, ths] |

Date of publication | 2016-12-30 19:38:40 |

Maintainer | Benjamin Baumgartner <benjamin@baumgrt.com> |

License | AGPL-3 |

Version | 0.6 |

**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...

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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