Description Usage Arguments Value
The sensitivities of both the value and the tail value at ruin are defined as their respective derivatives with respect to the probability level.
1 2 3 | sensitivity(process, method = c("saddlepoint", "hypoexp"), ...)
hypoexpSensitivity(process)
saddlepointSensitivity(process, ...)
|
process |
a riskproc object. |
method |
character string indicating the calculation or approximation method. |
... |
further arguments that are passed on to
|
varu |
a function returning the sensitivity of the value at ruin. |
tvaru |
a function returning the sensitivity of the tail value at ruin. |
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