finiteruinprob-package: Computation of the Probability of Ruin Within a Finite Time...
In finiteruinprob: Computation of the Probability of Ruin Within a Finite Time Horizon
Description
Author(s)
References
Description
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(s)
Benjamin Baumgartner <benjamin@baumgrt.com>
References
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 2, 2019, 4:02 p.m.
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Description Author(s) References
Description
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(s)
Benjamin Baumgartner <benjamin@baumgrt.com>
References
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.
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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