sdprisk: Measures of Risk for the Compound Poisson Risk Process with
The main purpose of this package is to provide saddlepoint
approximations to some measures of risk, based on the compound Poisson risk
process that is perturbed by a Brownian motion. 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).
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