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.
- Version1.1-6
- R versionunknown
- LicenseAGPL-3
- Needs compilation?Yes
- sdprisk citation info
- Last release04/29/2019
Documentation
Team
Benjamin Baumgartner
Riccardo Gatto
Show author detailsRolesContributor, Thesis advisorSebastian Szugat
Show author detailsRolesContributor
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