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) .

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Package details

AuthorBenjamin Baumgartner [aut, cre], Riccardo Gatto [ctb, ths], Sebastian Szugat [ctb]
Date of publication2016-12-31 01:41:16
MaintainerBenjamin Baumgartner <>
Package repositoryView on CRAN
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sdprisk documentation built on May 30, 2017, 2:26 a.m.