sdprisk

Measures of Risk for the Compound Poisson Risk Process with Diffusion

CRAN Package

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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Last 30 days

This package has been downloaded 185 times in the last 30 days. Enough downloads to make a small wave in the niche community. The curiosity is spreading! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 3 times.

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0 downloadsMar 2, 2025
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7 downloadsMar 4, 2025
20 downloadsMar 5, 2025
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0 downloadsApr 5, 2025
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The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 2,460 times in the last 365 days. That's enough downloads to impress a room full of undergrads. A commendable achievement indeed. The day with the most downloads was Sep 11, 2024 with 38 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Data provided by CRAN


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Dependencies

  • Imports3 packages
  • Reverse Imports1 package