Description Usage Value References

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

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.

1 |

This function is not yet fully implemented. At the moment it invisibly returns
`NULL`

.

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.

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