irudnyts/ruin: Simulation of Various Risk Processes

A (not yet exhaustive) collection of common models of risk processes in actuarial science, represented as formal S4 classes. Each class (risk model) has a simulator of its path, and a plotting function. Further, a Monte-Carlo estimator of a ruin probability for a finite time is implemented, using a parallel computation. Currently, the package extends two classical risk models Cramer-Lundberg and Sparre Andersen models by including capital injections, that are positive jumps (see Breuer L. and Badescu A.L. (2014) <doi:10.1080/03461238.2011.636969>). The intent of the package is to provide a user-friendly interface for ruin processes' simulators, as well as a solid and extensible structure for future extensions.

Getting started

Package details

Maintainer
LicenseGPL-3
Version0.1.1
URL http://github.com/irudnyts/ruin
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("irudnyts/ruin")
irudnyts/ruin documentation built on Aug. 9, 2018, 9:30 a.m.