sdprisk: Measures of Risk for the Compound Poisson Risk Process with Diffusion

The main purpose of this package is to provide saddlepoint approximations to some measures of risk, based on the compound Poisson risk process that is perturbed by a Brownian motion. Various approximation methods for the probability of ruin are also included. Furthermore, exact values of both the risk measures as well as the probability of ruin are available if the individual claims follow a hypo-exponential distribution (i. e., if it can be represented as a sum of independent exponentially distributed random variables with different rate parameters).

Author
Benjamin Baumgartner [aut, cre], Riccardo Gatto [ctb, ths], Sebastian Szugat [ctb]
Date of publication
2015-05-15 00:58:01
Maintainer
Benjamin Baumgartner <benjamin@baumgrt.com>
License
AGPL-3
Version
1.1-3

View on CRAN

Man pages

adjcoef
Adjustment Coefficient
claiminfo
Distribution Information about Individual Claim Amounts
hypoexp
Hypo-Exponential Distribution
riskproc
Compound Poisson Risk Process with Diffusion
ruinprob
Calculation or Approximation of the Probability of Ruin
sensitivity
Sensitivity of the Value and Tail Value at Ruin
tvaru
Tail Value at Ruin
varu
Value at Ruin

Files in this package

sdprisk
sdprisk/inst
sdprisk/inst/CITATION
sdprisk/src
sdprisk/src/rpbounds.c
sdprisk/NAMESPACE
sdprisk/R
sdprisk/R/riskproc.R
sdprisk/R/rhypoexp.R
sdprisk/R/dhypoexp.R
sdprisk/R/saddlepointRuinprob.R
sdprisk/R/hypoexpVaru.R
sdprisk/R/mgfhypoexp.R
sdprisk/R/ratetoalpha.R
sdprisk/R/hypoexpTvaru.R
sdprisk/R/mean.claiminfo.R
sdprisk/R/saddlepointTvaru.R
sdprisk/R/int.multi.R
sdprisk/R/is.hypoexp.R
sdprisk/R/is.riskproc.R
sdprisk/R/almost.equal.R
sdprisk/R/qhypoexp.R
sdprisk/R/phypoexp.R
sdprisk/R/adjcoef.R
sdprisk/R/claiminfo.R
sdprisk/R/fftRuinprob.R
sdprisk/R/hypoexpSensitivity.R
sdprisk/R/ruinprob.R
sdprisk/R/cgfhypoexp.R
sdprisk/R/lundbergRuinprob.R
sdprisk/R/tvaru.R
sdprisk/R/sensitivity.R
sdprisk/R/hypoexpRuinprob.R
sdprisk/R/is.claiminfo.R
sdprisk/R/saddlepointVaru.R
sdprisk/R/saddlepointSensitivity.R
sdprisk/R/varu.R
sdprisk/R/boundsRuinprob.R
sdprisk/MD5
sdprisk/README
sdprisk/DESCRIPTION
sdprisk/man
sdprisk/man/sensitivity.Rd
sdprisk/man/claiminfo.Rd
sdprisk/man/adjcoef.Rd
sdprisk/man/tvaru.Rd
sdprisk/man/varu.Rd
sdprisk/man/hypoexp.Rd
sdprisk/man/riskproc.Rd
sdprisk/man/ruinprob.Rd