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sdprisk (version 1.0-3)

sensitivity: Sensitivity of the Value and Tail Value at Ruin

Description

The sensitivities of both the value and the tail value at ruin are defined as their respective derivatives with respect to the probability level.

Usage

sensitivity(process, method = c("saddlepoint", "hypoexp"), ...)
hypoexpSensitivity(process)
saddlepointSensitivity(process, ...)

Arguments

process
a riskproc object.
method
character string indicating the calculation or approximation method.
...
further arguments that are passed on to saddlepointTvaru.

Value

  • varua function returning the sensitivity of the value at ruin.
  • tvarua function returning the sensitivity of the tail value at ruin.