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

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) <doi:10.1007/s11009-012-9316-5>.

Version: 1.1-5
Imports: numDeriv, PolynomF, rootSolve, utils, stats
Published: 2016-12-31
Author: Benjamin Baumgartner [aut, cre], Riccardo Gatto [ctb, ths], Sebastian Szugat [ctb]
Maintainer: Benjamin Baumgartner <benjamin at>
License: AGPL-3
NeedsCompilation: yes
Citation: sdprisk citation info
Materials: README
CRAN checks: sdprisk results


Reference manual: sdprisk.pdf
Package source: sdprisk_1.1-5.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: sdprisk_1.1-5.tgz
OS X Mavericks binaries: r-oldrel: sdprisk_1.1-5.tgz
Old sources: sdprisk archive

Reverse dependencies:

Reverse imports: finiteruinprob


Please use the canonical form to link to this page.