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sdprisk

Measures of Risk for the Compound Poisson Risk Process with Diffusion

Installation

About

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.

Citation sdprisk citation info

Key Metrics

Version 1.1-6
Published 2019-04-29 1985 days ago
Needs compilation? yes
License AGPL-3
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Maintainer

Maintainer

Benjamin Baumgartner

Authors

Benjamin Baumgartner

aut / cre

Riccardo Gatto

ctb / ths

Sebastian Szugat

ctb

Material

README
Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

sdprisk archive

Imports

numDeriv
PolynomF ≥ 2.0-0
rootSolve
utils
stats

Reverse Imports

finiteruinprob