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Description

Computation of the Probability of Ruin Within a Finite Time Horizon.

In the Cramér–Lundberg risk process perturbed by a Wiener process, this packages provides approximations to the probability of ruin within a finite time horizon. Currently, there are three methods implemented: The first one uses saddlepoint approximation (two variants are provided), the second one uses importance sampling and the third one is based on the simulation of a dual process. This last method is not very accurate and only given here for completeness.
Metadata

Version

0.6

License

Unknown

Platforms (75)

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    FreeBSD
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