Package: finiteruinprob
Type: Package
Title: Computation of the Probability of Ruin Within a Finite Time
        Horizon
Version: 0.6
Date: 2016-12-30
Authors@R: c(person(given  = 'Benjamin',
                    family = 'Baumgartner',
                    email  = 'benjamin@baumgrt.com',
                    role   = c('aut', 'cre')),
             person(given  = 'Riccardo',
                    family = 'Gatto',
                    email  = 'gatto@stat.unibe.ch',
                    role   = c('ctb', 'ths')))
Maintainer: Benjamin Baumgartner <benjamin@baumgrt.com>
Description: 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.
License: AGPL-3
Imports: sdprisk, numDeriv, utils, methods
Encoding: UTF-8
NeedsCompilation: no
Packaged: 2016-12-30 16:38:46 UTC; benjamin
Author: Benjamin Baumgartner [aut, cre],
  Riccardo Gatto [ctb, ths]
Repository: CRAN
Date/Publication: 2016-12-30 19:38:40
Built: R 4.6.0; ; 2026-04-26 00:39:51 UTC; unix
