Package: finiteruinprob
Type: Package
Title: Computation of the Probability of Ruin Within a Finite Time
        Horizon
Version: 0.6
Date: 2016-12-30
Authors@R: c(person(given  = 'Benjamin',
                    family = 'Baumgartner',
                    email  = 'benjamin@baumgrt.com',
                    role   = c('aut', 'cre')),
             person(given  = 'Riccardo',
                    family = 'Gatto',
                    email  = 'gatto@stat.unibe.ch',
                    role   = c('ctb', 'ths')))
Maintainer: Benjamin Baumgartner <benjamin@baumgrt.com>
Description: 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.
License: AGPL-3
Imports: sdprisk, numDeriv, utils, methods
Encoding: UTF-8
Repository: https://baumgrt.r-universe.dev
Date/Publication: 2016-12-30 15:57:19 UTC
RemoteUrl: https://github.com/baumgrt/finiteruinprob
RemoteRef: HEAD
RemoteSha: 26fff295dc39431aed9e37dcbb8489e4986d7263
NeedsCompilation: no
Packaged: 2026-09-20 11:24:51 UTC; root
Author: Benjamin Baumgartner [aut, cre],
  Riccardo Gatto [ctb, ths]