| ruinprob.finite.dsim {finiteruinprob} | R Documentation |
Computation of the probability of ruin within a finite time horizon using a dual process
Description
This function calculates an approximation to the probability of ruin within a finite time horizon for a compound Poisson risk process that is perturbed by a Wiener process. The approximation is based on a dual process to the risk process.
Usage
ruinprob.finite.dsim(Z)Arguments
Z |
A time-series object, e.g. one generated by rriskproc, containing at least two series |
Details
This function computes an approximation to the probability of ruin within a finite time horizon using a dual process. See the references for more details.
Value
A function taking one numeric argument, the initial capital. This function returns the
approximation for the specified initial reserve and for all values of the time horizon
that are sampling points of Z.
References
Gatto, R. and Baumgartner, B. (2016) Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion. Methodology and Computing in Applied Probability 18(1), pp. 217-235.