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 hypoexponential 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) <doi:10.1007/s1100901293165>.
Package details 


Author  Benjamin Baumgartner [aut, cre], Riccardo Gatto [ctb, ths], Sebastian Szugat [ctb] 
Maintainer  Benjamin Baumgartner <benjamin@baumgrt.com> 
License  AGPL3 
Version  1.16 
Package repository  View on CRAN 
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