# Computation of the probability of ruin within a finite time horizon

### 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. (to appear, in revision) *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 **TBA**(TBA), pp. 1–19.