ruinprob.finite.dsim: Computation of the probability of ruin within a finite time...

Description Usage Arguments Details Value References

View source: R/ruinprob.finite.dsim.R

Description

This function calculates an approximation to the probability of ruin within a finite time horizon for a compound Poisson risk process that is perturbed by a Wiener process. The approximation is based on a dual process to the risk process.

Usage

1

Arguments

Z

A time-series object, e.g. one generated by rriskproc, containing at least two series

Details

This function computes an approximation to the probability of ruin within a finite time horizon using a dual process. See the references for more details.

Value

A function taking one numeric argument, the initial capital. This function returns the approximation for the specified initial reserve and for all values of the time horizon that are sampling points of Z.

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 30, 2017, 8:18 a.m.