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) ). 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.

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.