Package: sdprisk
Type: Package
Version: 1.1-6
Date: 2019-05-01
Title: Measures of Risk for the Compound Poisson Risk Process with
        Diffusion
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')),
             person(given  = 'Sebastian',
                    family = 'Szugat',
                    email  = 'szugat@statistik.tu-dortmund.de',
                    role   = c('ctb')))
Maintainer: Benjamin Baumgartner <benjamin@baumgrt.com>
Description: 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>.
License: AGPL-3
Imports: numDeriv, PolynomF (>= 2.0-0), rootSolve, utils, stats
Repository: https://baumgrt.r-universe.dev
Date/Publication: 2019-04-27 11:52:15 UTC
RemoteUrl: https://github.com/baumgrt/sdprisk
RemoteRef: HEAD
RemoteSha: 12ecf705635a1a87414b283307c72392fb20b208
NeedsCompilation: yes
Packaged: 2026-10-05 07:57:47 UTC; root
Author: Benjamin Baumgartner [aut, cre],
  Riccardo Gatto [ctb, ths],
  Sebastian Szugat [ctb]