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bootruin (version 1.2-4)

A Bootstrap Test for the Probability of Ruin in the Classical Risk Process

Description

We provide a framework for testing the probability of ruin in the classical (compound Poisson) risk process. It also includes some procedures for assessing and comparing the performance between the bootstrap test and the test using asymptotic normality.

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Version

Install

install.packages('bootruin')

Monthly Downloads

187

Version

1.2-4

License

AGPL-3

Maintainer

Benjamin Baumgartner

Last Published

December 30th, 2016

Functions in bootruin (1.2-4)

rppvalue

P-values for the Test of the Probability of Ruin
pvaldistance

Distance Measures of Empirical Probability Functions
rpdataboot

Creating Bootstrap Replications from an Matrix of Observations
rpteststat

Computation of the Test Statistic for the Probability of Ruin
rpdataconv

Convert a List of Numerics to a Matrix
pvaldens

Density Estimation of Data in the Unit Interval
rpdatasim

Simulating Data, Shaped into a Matrix
rpjack

A Jackknife Estimator of the Standard Error of the Probability of Ruin
ruinprob

The Probability of Ruin in the Classical Risk Process
bootruin-package

A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk process
ruinprob.test

A Bootstrap Test for the Probability of Ruin in the Classical Risk Process