R/hypoexpTvaru.R

In sdprisk: Measures of Risk for the Compound Poisson Risk Process with Diffusion

Defines functions hypoexpTvaru

Documented in hypoexpTvaru

hypoexpTvaru <- function(process) {
    function(prob) {
        quant <- hypoexpVaru(process)(prob)
        return(rev(cumsum(rev(int.multi(f     = hypoexpRuinprob(process)[['psi']],
                                        nodes = c(quant, Inf))))) / prob + quant)
    }
}

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