Package: finiteruinprob 0.6

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.

Authors:Benjamin Baumgartner [aut, cre], Riccardo Gatto [ctb, ths]

finiteruinprob_0.6.tar.gz
finiteruinprob_0.6.zip(r-4.7-any)finiteruinprob_0.6.zip(r-4.6-any)finiteruinprob_0.6.zip(r-4.5-any)
finiteruinprob_0.6.tgz(r-4.6-any)finiteruinprob_0.6.tgz(r-4.5-any)
finiteruinprob_0.6.tar.gz(r-4.7-any)finiteruinprob_0.6.tar.gz(r-4.6-any)
finiteruinprob_0.6.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
finiteruinprob/json (API)

# Install 'finiteruinprob' in R:
install.packages('finiteruinprob', repos = c('https://baumgrt.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/baumgrt/finiteruinprob/issues

On CRAN:

Conda:

2.00 score 1 scripts 390 downloads 4 exports 5 dependencies

Last updated from:26fff295dc. Checks:7 WARNING, 1 ERROR, 1 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develWARNING124
source / vignettesERROR3118
linux-releaseWARNING128
macos-releaseWARNING78
macos-oldrelWARNING76
windows-develWARNING64
windows-releaseWARNING61
windows-oldrelWARNING58
wasm-releaseOK95

Exports:rriskprocruinprob.finite.dsimruinprob.finite.impsruinprob.finite.sdp

Dependencies:numDerivPolynomFRcpprootSolvesdprisk