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

Documentation:

Reference manual:	finiteruinprob.pdf
Vignettes:	Complement to Gatto, R. and Baumgartner, B. (2016)

Downloads:

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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