Computation of the probability of ruin within a finite time horizon

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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.