Computation of the Probability of Ruin Within a Finite Time Horizon
Computation of the Probability of Ruin Within a Finite Time Horizon
Simulation of a risk process that is perturbed by a Wiener process
Computation of the probability of ruin within a finite time horizon us...
Approximation of the probability of ruin within a finite time horizon ...
Approximation 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.