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ruin

Overview

The intention of the package is to provide simulation methods of common risk processes in a framework of ruin theory. Each model is implemented as an S4 class, having 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, namely, Cramer-Lundberg and Sparre Andersen models by including capital injections (positive jumps).

Installation

The package is not yet submitted to CRAN. Instead, you can install ruin from github with:

# install.packages("devtools")
devtools::install_github("irudnyts/ruin")

Example

library(ruin)
#> Set default RNG to L'Ecuyer-CMRG for a safe parallel simulation.

model <- CramerLundberg(
  initial_capital = 10,
  premium_rate = 1,
  claim_poisson_arrival_rate = 1,
  claim_size_generator = rexp,
  claim_size_parameters = list(rate = 1)
)

ruin_probability(model = model, time_horizon = 10, return_paths = FALSE)
#> $ruin_probability
#> lower_bound    estimate upper_bound 
#>  0.03692248  0.04080000  0.04467752

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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