sdprisk: Measures of Risk for the Compound Poisson Risk Process with Diffusion
Version 1.1-5

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) .

AuthorBenjamin Baumgartner [aut, cre], Riccardo Gatto [ctb, ths], Sebastian Szugat [ctb]
Date of publication2016-12-31 01:41:16
MaintainerBenjamin Baumgartner <benjamin@baumgrt.com>
LicenseAGPL-3
Version1.1-5
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("sdprisk")

Popular 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
See all...

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
sdprisk documentation built on May 20, 2017, 12:33 a.m.

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