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

This package provides saddlepoint approximations to some measures of risk based on the compound Poisson risk process that is perturbed by a Brownian motion. It also includes various approximation methods for the probability of ruin. 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).

Version: 1.0-3
Imports: numDeriv, PolynomF, rootSolve
Published: 2013-12-30
Author: Benjamin Baumgartner, Riccardo Gatto
Maintainer: Benjamin Baumgartner <benjamin at>
License: AGPL-3
NeedsCompilation: yes
Citation: sdprisk citation info
Materials: README
CRAN checks: sdprisk results


Reference manual: sdprisk.pdf
Package source: sdprisk_1.0-3.tar.gz
OS X binary: sdprisk_1.0-3.tgz
Windows binary:
Old sources: sdprisk archive