Computation of the probability of ruin within a finite time horizon


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Documentation for package ‘finiteruinprob’ version 0.4

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finiteruinprob-package Computation of the probability of ruin within a finite time horizon
finiteruinprob Computation of the probability of ruin within a finite time horizon
rriskproc Simulation of a risk process that is perturbed by a Wiener process
ruinprob.finite.dsim Computation of the probability of ruin within a finite time horizon using a dual process
ruinprob.finite.imps Approximation of the probability of ruin within a finite time horizon using importance sampling
ruinprob.finite.sdp Approximation of the probability of ruin within a finite time horizon using saddlepoint methods