ruinprob.finite.sdp: Approximation of the probability of ruin within a finite time...

Description Usage Arguments Details Value References

View source: R/ruinprob.finite.sdp.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 makes use of saddlepoint methods.


    ruinprob.finite.sdp(mgf, mgf.d1, mgf.d2, premium, freq, variance,
                        endpoint, verbose = FALSE)



The moment-generating function of the individual claim amounts


The first derivative of mgf


The second derivative of mgf


The premium force


Frequency of the claims


The variance of the Wiener process by which the risk process is perturbed


The upper endpoint of mgf, i.e. the position of a pole


Return additional diagnostic information as an attribute of the output


If neither or only the first derivative of mgf is provided, a numerical approximation to the missing derivative(s) will be used instead (see grad and hessian).

The argument endpoint is the (smallest) positive pole of mgf. Omitting this information will issue a warning and the value 1.0e+6 will be used instead, possibly yielding unexpected and unreliable output or leading to further errors.


A function psi(x, t) taking as inputs the initial capital x and the time horizon t. This function returns a list, the first element of which contains a Lugannani–Rice-type approximation, the second one contains a Skovgaard-type approximation.


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 20, 2017, 5:49 a.m.
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