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A (not yet exhaustive) collection of common models of risk processes in actuarial science, represented as formal S4 classes. Each class (risk model) has a simulator of its path, and a plotting function. Further, a Monte-Carlo estimator of a ruin probability for a finite time is implemented, using a parallel computation. Currently, the package extends two classical risk models Cramer-Lundberg and Sparre Andersen models by including capital injections, that are positive jumps (see Breuer L. and Badescu A.L. (2014) <doi:10.1080/03461238.2011.636969>). The intent of the package is to provide a user-friendly interface for ruin processes' simulators, as well as a solid and extensible structure for future extensions.
| Version: | 0.1.1 |
| Depends: | R (≥ 3.5.0) |
| Imports: | methods, parallel, ggplot2 (≥ 2.2.1) |
| Suggests: | testthat, actuar (≥ 2.3.0), knitr, rmarkdown |
| Published: | 2018-07-30 |
| DOI: | 10.32614/CRAN.package.ruin |
| Author: | Iegor Rudnytskyi [aut, cre] |
| Maintainer: | Iegor Rudnytskyi <iegor.rudnytskyi at gmail.com> |
| BugReports: | http://github.com/irudnyts/ruin/issues |
| License: | GPL-3 |
| URL: | http://github.com/irudnyts/ruin |
| NeedsCompilation: | no |
| Materials: | README NEWS |
| In views: | ActuarialScience |
| CRAN checks: | ruin results |
| Reference manual: | ruin.pdf |
| Vignettes: |
A Very Short Introduction to ruin |
| Package source: | ruin_0.1.1.tar.gz |
| Windows binaries: | r-devel: ruin_0.1.1.zip, r-release: ruin_0.1.1.zip, r-oldrel: ruin_0.1.1.zip |
| macOS binaries: | r-release (arm64): ruin_0.1.1.tgz, r-oldrel (arm64): ruin_0.1.1.tgz, r-release (x86_64): ruin_0.1.1.tgz, r-oldrel (x86_64): ruin_0.1.1.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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