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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>.
| Version: | 1.1-6 |
| Imports: | numDeriv, PolynomF (≥ 2.0-0), rootSolve, utils, stats |
| Published: | 2019-04-29 |
| DOI: | 10.32614/CRAN.package.sdprisk |
| Author: | Benjamin Baumgartner [aut, cre], Riccardo Gatto [ctb, ths], Sebastian Szugat [ctb] |
| Maintainer: | Benjamin Baumgartner <benjamin at baumgrt.com> |
| License: | AGPL-3 |
| NeedsCompilation: | yes |
| Citation: | sdprisk citation info |
| Materials: | README |
| CRAN checks: | sdprisk results |
| Reference manual: | sdprisk.pdf |
| Package source: | sdprisk_1.1-6.tar.gz |
| Windows binaries: | r-devel: sdprisk_1.1-6.zip, r-release: sdprisk_1.1-6.zip, r-oldrel: sdprisk_1.1-6.zip |
| macOS binaries: | r-release (arm64): sdprisk_1.1-6.tgz, r-oldrel (arm64): sdprisk_1.1-6.tgz, r-release (x86_64): sdprisk_1.1-6.tgz, r-oldrel (x86_64): sdprisk_1.1-6.tgz |
| Old sources: | sdprisk archive |
| Reverse imports: | finiteruinprob |
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