ruinprob.finite.imps: Approximation of the probability of ruin within a finite time...
In finiteruinprob: Computation of the Probability of Ruin Within a Finite Time Horizon
Description
Usage
Value
References
View source: R/ruinprob.finite.imps.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 importance sampling.
Usage
1
Value
This function is not yet fully implemented. At the moment it invisibly returns
NULL.
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 Usage Value References
View source: R/ruinprob.finite.imps.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 importance sampling.
Usage
1 |
Value
This function is not yet fully implemented. At the moment it invisibly returns
NULL.
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
Browse R Packages
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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