Description Author(s) References

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.

Benjamin Baumgartner <[email protected]>

Gatto, R. and Baumgartner, B. (2016) *Saddlepoint
approximations to the probability of ruin in finite time for the compound
Poisson risk process perturbed by diffusion*. Methodology and Computing in
Applied Probability **18**(1), pp. 217-235.

finiteruinprob documentation built on May 30, 2017, 8:18 a.m.

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