ruinprob(process, method = c("saddlepoint", "fft", "bounds", "hypoexp", "lundberg"), ...)
boundsRuinprob(process, interval, maxreserve, richardson = TRUE, use.splines = FALSE)
fftRuinprob(process, interval, maxreserve, n, use.splines = FALSE)
hypoexpRuinprob(process)
saddlepointRuinprob(process, jensen = FALSE, normalize = TRUE)"riskproc" object.TRUE, Richardson extrapolation is used
for the approximation of the probability of ruin due to oscillation.TRUE, a cubic spline interpolation is
used instead of step functions.TRUE, the formulae of Jensen (1992)
are used instead of the ones by Lugannani and Rice (1980) and
Daniels (1954) (see references).TRUE, the saddlepoint approximations based
on densities are re-normalized such that those densities integrate to 1.boundsRuinprob,
fftRuinprob, hypoexpRuinprob or saddlepointRuinprob,
depending on the value of method.ruinprob is a wrapper function for the other ones given here.Gatto, R. and Mosimann, M. (2012) Four Approaches to Compute the Probability of Ruin in the Compound Poisson Risk Process with Diffusion. Mathematical and Computer Modelling 55(3--4), pp. 1169--1185
Jensen, J. L. (1992) The Modified Signed Likelihood Statistic and Saddlepoint Approximations. Biometrika 79(4), pp. 693--703.
Lugannani, R. and Rice, S. (1980) Saddle Point Approximation for the Distribution of the Sum of Independent Random Variables. Advances in Applied Probability 12(2), pp. 475--490.
riskproc, claiminfo