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-4.5)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)

Peer review:

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

4 exports 0.00 score 5 dependencies 1 scripts 805 downloads

Last updated 8 years agofrom:a17bd7a1af. Checks:OK: 7. Indexed: yes.

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

Dependencies:numDerivPolynomFRcpprootSolvesdprisk