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.


Reference manual

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0.6 by Benjamin Baumgartner, 3 years ago

Browse source code at

Authors: Benjamin Baumgartner [aut, cre] , Riccardo Gatto [ctb, ths]

Documentation:   PDF Manual  

AGPL-3 license

Imports sdprisk, numDeriv, utils, methods

See at CRAN