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RcmdrPlugin.RiskDemo (version 2.0)

R Commander Plug-in for Risk Demonstration

Description

R Commander plug-in to demonstrate various actuarial and financial risks. It includes valuation of bonds and stocks, portfolio optimization, classical ruin theory and demography.

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Version

Install

install.packages('RcmdrPlugin.RiskDemo')

Monthly Downloads

516

Version

2.0

License

GPL-2

Maintainer

Arto Luoma

Last Published

October 3rd, 2018

Functions in RcmdrPlugin.RiskDemo (2.0)

drawRuin

Plotting simulations of a surplus process

fin

Mortality data for Finland

pop.pred

Population forecasting

portfOptim

Portfolio optimization for an index model

params

Yield curve parameter data

returns

Computing expected returns and their covariance matrix

stock.price

Computing stock prices

stockData

Stock data

countries

Names of the countries in the Human Mortality Database

solveLund

Solving Lund's exponent

fin.fcast

Finnish mortality forecast

solveYield

Computing bond yields

fin.lca

Lee-Carter model fit for Finnish data

computeRuinFinite

Ruin probability computation with finite time horizon

RcmdrPlugin.RiskDemo-internal

Internal RiskDemo objects

drawFigure

Efficient frontier and return distribution figures

countries.mort

Mortality data

bondCurve

Drawing forward and yield curves

bondFigure

Bond price as a function of interest rate.

bondPrice

Computing bond prices

RcmdrPlugin.RiskDemo-package

R Commander Plug-in for Risk Demonstration

computeRuin

Ruin probability computation with infinite time horizon