Based on the compound Poisson risk process that is perturbed by
a Brownian motion, saddlepoint approximations to some measures of risk are
provided. 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). For more details see Gatto and Baumgartner (2014)
| Author | Benjamin Baumgartner [aut, cre], Riccardo Gatto [ctb, ths], Sebastian Szugat [ctb] |
| Date of publication | 2016-12-31 01:41:16 |
| Maintainer | Benjamin Baumgartner <benjamin@baumgrt.com> |
| License | AGPL-3 |
| Version | 1.1-5 |
| Package repository | View on CRAN |
| Installation | Install the latest version of this package by entering the following in R:
|
All man pages Function index File listing
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 | |
Functions | |
|---|---|
| adjcoef | Man page Source code |
| almost.equal | Source code |
| boundsRuinprob | Man page Source code |
| cgfhypoexp | Source code |
| claiminfo | Man page Source code |
| dhypoexp | Man page Source code |
| fftRuinprob | Man page Source code |
| hypoexpRuinprob | Man page Source code |
| hypoexpSensitivity | Man page Source code |
| hypoexpTvaru | Man page Source code |
| hypoexpVaru | Man page Source code |
| int.multi | Source code |
| is.claiminfo | Man page Source code |
| is.hypoexp | Man page Source code |
| is.hypoexp.claiminfo | Source code |
| is.hypoexp.default | Source code |
| is.hypoexp.riskproc | Source code |
| is.riskproc | Man page Source code |
| lundbergRuinprob | Source code |
| mean.claiminfo | Source code |
| mgfhypoexp | Man page Source code |
| phypoexp | Man page Source code |
| qhypoexp | Man page Source code |
| ratetoalpha | Source code |
| rhypoexp | Man page Source code |
| riskproc | Man page Source code |
| ruinprob | Man page Source code |
| saddlepointRuinprob | Man page Source code |
| saddlepointSensitivity | Man page Source code |
| saddlepointTvaru | Man page Source code |
| saddlepointVaru | Man page Source code |
| sensitivity | Man page Source code |
| tvaru | Man page Source code |
| varu | Man page Source code |
Files | |
|---|---|
|
inst
| |
|
inst/CITATION
| |
|
src
| |
|
src/rpbounds.c
| |
|
NAMESPACE
| |
|
R
| |
| R/riskproc.R | |
| R/rhypoexp.R | |
| R/dhypoexp.R | |
| R/saddlepointRuinprob.R | |
| R/hypoexpVaru.R | |
| R/mgfhypoexp.R | |
| R/ratetoalpha.R | |
| R/hypoexpTvaru.R | |
| R/mean.claiminfo.R | |
| R/saddlepointTvaru.R | |
| R/int.multi.R | |
| R/is.hypoexp.R | |
| R/is.riskproc.R | |
| R/almost.equal.R | |
| R/qhypoexp.R | |
| R/phypoexp.R | |
| R/adjcoef.R | |
| R/claiminfo.R | |
| R/fftRuinprob.R | |
| R/hypoexpSensitivity.R | |
| R/ruinprob.R | |
| R/cgfhypoexp.R | |
| R/lundbergRuinprob.R | |
| R/tvaru.R | |
| R/sensitivity.R | |
| R/hypoexpRuinprob.R | |
| R/is.claiminfo.R | |
| R/saddlepointVaru.R | |
| R/saddlepointSensitivity.R | |
| R/varu.R | |
| R/boundsRuinprob.R | |
|
MD5
| |
|
README
| |
|
DESCRIPTION
| |
|
man
| |
| man/sensitivity.Rd | |
| man/claiminfo.Rd | |
| man/adjcoef.Rd | |
| man/tvaru.Rd | |
| man/varu.Rd | |
| man/hypoexp.Rd | |
| man/riskproc.Rd | |
| man/ruinprob.Rd | |
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