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 |
| DOI: | 10.32614/CRAN.package.finiteruinprob |
| 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 |
| 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 |
| macOS binaries: | r-release (arm64): finiteruinprob_0.6.tgz, r-oldrel (arm64): finiteruinprob_0.6.tgz, r-release (x86_64): finiteruinprob_0.6.tgz, r-oldrel (x86_64): finiteruinprob_0.6.tgz |
| Old sources: | finiteruinprob archive |
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