finiteruinprob: Computation of the Probability of Ruin Within a Finite Time
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.
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