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sdprisk: Measures of Risk for the Compound Poisson Risk Process with Diffusion

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

Documentation:

Reference manual: sdprisk.pdf

Downloads:

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 dependencies:

Reverse imports: finiteruinprob

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.