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:
finiteruinprob_0.6.tar.gz
finiteruinprob_0.6.zip(r-4.5)finiteruinprob_0.6.zip(r-4.4)finiteruinprob_0.6.zip(r-4.3)
finiteruinprob_0.6.tgz(r-4.4-any)finiteruinprob_0.6.tgz(r-4.3-any)
finiteruinprob_0.6.tar.gz(r-4.5-noble)finiteruinprob_0.6.tar.gz(r-4.4-noble)
finiteruinprob_0.6.tgz(r-4.4-emscripten)finiteruinprob_0.6.tgz(r-4.3-emscripten)
finiteruinprob.pdf |finiteruinprob.html✨
finiteruinprob/json (API)
| # Install 'finiteruinprob' in R: |
| install.packages('finiteruinprob', repos = c('https://baumgrt.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 8 years agofrom:a17bd7a1af. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 29 2024 |
| R-4.5-win | OK | Oct 29 2024 |
| R-4.5-linux | OK | Oct 29 2024 |
| R-4.4-win | OK | Oct 29 2024 |
| R-4.4-mac | OK | Oct 29 2024 |
| R-4.3-win | OK | Oct 29 2024 |
| R-4.3-mac | OK | Oct 29 2024 |
Exports:rriskprocruinprob.finite.dsimruinprob.finite.impsruinprob.finite.sdp
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Computation of the Probability of Ruin Within a Finite Time Horizon | finiteruinprob-package finiteruinprob |
| Simulation of a risk process that is perturbed by a Wiener process | rriskproc |
| Computation of the probability of ruin within a finite time horizon using a dual process | ruinprob.finite.dsim |
| Approximation of the probability of ruin within a finite time horizon using importance sampling | ruinprob.finite.imps |
| Approximation of the probability of ruin within a finite time horizon using saddlepoint methods | ruinprob.finite.sdp |
