finiteruinprob
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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.6 |
rolling source/ R- | finiteruinprob_0.6.tar.gz |
123.9 KiB |
0.6 |
latest source/ R- | finiteruinprob_0.6.tar.gz |
123.9 KiB |
0.6 |
2026-04-23 source/ R- | finiteruinprob_0.6.tar.gz |
123.9 KiB |
0.6 |
2026-04-09 windows/windows R-4.5 | finiteruinprob_0.6.zip |
134.2 KiB |