Package: sdprisk 1.1-6
sdprisk: Measures of Risk for the Compound Poisson Risk Process with Diffusion
Based on the compound Poisson risk process that is perturbed by a Brownian motion, saddlepoint approximations to some measures of risk are provided. Various approximation methods for the probability of ruin are also included. Furthermore, exact values of both the risk measures as well as the probability of ruin are available if the individual claims follow a hypo-exponential distribution (i. e., if it can be represented as a sum of independent exponentially distributed random variables with different rate parameters). For more details see Gatto and Baumgartner (2014) <doi:10.1007/s11009-012-9316-5>.
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sdprisk.pdf |sdprisk.html✨
sdprisk/json (API)
| # Install 'sdprisk' in R: |
| install.packages('sdprisk', 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 6 years agofrom:8a30ea3963. Checks:OK: 9. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 31 2024 |
| R-4.5-win-x86_64 | OK | Oct 31 2024 |
| R-4.5-linux-x86_64 | OK | Oct 31 2024 |
| R-4.4-win-x86_64 | OK | Oct 31 2024 |
| R-4.4-mac-x86_64 | OK | Oct 31 2024 |
| R-4.4-mac-aarch64 | OK | Oct 31 2024 |
| R-4.3-win-x86_64 | OK | Oct 31 2024 |
| R-4.3-mac-x86_64 | OK | Oct 31 2024 |
| R-4.3-mac-aarch64 | OK | Oct 31 2024 |
Exports:adjcoefboundsRuinprobclaiminfodhypoexpfftRuinprobhypoexpRuinprobhypoexpSensitivityhypoexpTvaruhypoexpVaruis.claiminfois.hypoexpis.riskprocmgfhypoexpphypoexpqhypoexprhypoexpriskprocruinprobsaddlepointRuinprobsaddlepointSensitivitysaddlepointTvarusaddlepointVarusensitivitytvaruvaru
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Adjustment Coefficient | adjcoef |
| Distribution Information about Individual Claim Amounts | claiminfo is.claiminfo is.hypoexp |
| Hypo-Exponential Distribution | dhypoexp mgfhypoexp phypoexp qhypoexp rhypoexp |
| Compound Poisson Risk Process with Diffusion | is.riskproc riskproc |
| Calculation or Approximation of the Probability of Ruin | boundsRuinprob fftRuinprob hypoexpRuinprob ruinprob saddlepointRuinprob |
| Sensitivity of the Value and Tail Value at Ruin | hypoexpSensitivity saddlepointSensitivity sensitivity |
| Tail Value at Ruin | hypoexpTvaru saddlepointTvaru tvaru |
| Value at Ruin | hypoexpVaru saddlepointVaru varu |
