finiteruinprob: Computation of the Probability of Ruin Within a Finite Time Horizon

In the Cramér–Lundberg risk process perturbed by a Wiener process, this packages provides approximations to the probability of ruin within a finite time horizon. Currently, there are three methods implemented: The first one uses saddlepoint approximation (two variants are provided), the second one uses importance sampling and the third one is based on the simulation of a dual process. This last method is not very accurate and only given here for completeness.

Version: 0.6
Imports: sdprisk, numDeriv, utils, methods
Published: 2016-12-30
Author: Benjamin Baumgartner [aut, cre], Riccardo Gatto [ctb, ths]
Maintainer: Benjamin Baumgartner <benjamin at baumgrt.com>
License: AGPL-3
NeedsCompilation: no
Citation: finiteruinprob citation info
CRAN checks: finiteruinprob results

Downloads:

Reference manual: finiteruinprob.pdf
Vignettes: Complement to Gatto, R. and Baumgartner, B. (2016)
Package source: finiteruinprob_0.6.tar.gz
Windows binaries: r-devel: finiteruinprob_0.6.zip, r-release: finiteruinprob_0.6.zip, r-oldrel: finiteruinprob_0.6.zip
OS X El Capitan binaries: r-release: finiteruinprob_0.6.tgz
OS X Mavericks binaries: r-oldrel: finiteruinprob_0.6.tgz
Old sources: finiteruinprob archive

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