Simulation of Various Risk Processes
A formal S4 class CramerLundberg
Constructs an object of CramerLundberg S4 class
A formal S4 class CramerLundbergCapitalInjections
Constructs an object of CramerLundbergCapitalInjections S4 class
A formal S4 class PathCramerLundberg
A formal S4 class PathCramerLundbergCapitalInjections
A formal S4 class PathSparreAndersen
A formal S4 class PathSparreAndersenCapitalInjections
Plot a path of the simulated ruin process
Estimate a ruin probability for a finite time horizon
Simulates a path of a Cramer-Lundberg model
Simulates a path of a Cramer-Lundberg model's extension with capital i...
Simulates a path of a Sparre Andersen model
Simulates a path of a Sparre Andersen model's extension with capital i...
Generic for simulating a path of a given risk model
A formal S4 class SparreAndersen
Constructs an object of SparreAndersen S4 class
A formal S4 class SparreAndersenCapitalInjections
Constructs an object of SparreAndersenCapitalInjections S4 class
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) <doi:10.1080/03461238.2011.636969>). 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.