This functions provide various approximation methods for the (total) probability of ruin, the probability of ruin due to oscillation and the probability of ruin due to a claim. Exact calculations are possible in the case of hypo-exponentially distrubuted claim amounts.
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)a "riskproc" object.
character string indicating the method used for approximation or calculation.
interval width for the discretization of the claim distribution.
maximal value of the initial reserve for which the approximation can be calculated.
Length of the probability vectors resulting from the discretization.
logical; if TRUE, Richardson extrapolation is used
for the approximation of the probability of ruin due to oscillation.
logical; if TRUE, a cubic spline interpolation is
used instead of step functions.
logical; if TRUE, the formulae of Jensen (1992)
are used instead of the ones by Lugannani and Rice (1980) and
Daniels (1954) (see references).
logical; if TRUE, the saddlepoint approximations based
on densities are re-normalized such that those densities integrate to 1.
further arguments that are passed on to boundsRuinprob,
fftRuinprob, hypoexpRuinprob or saddlepointRuinprob,
depending on the value of method.
the total probability of ruin (as a function of the initial reserve).
the probability of ruin due to oscillation (as a function of the initial reserve).
the probability of ruin due to a claim (as a function of the initial reserve).
ruinprob is a wrapper function for the other ones given here.
Daniels, H. E. (1954) Saddlepoint Approximations in Statistics. Annals of Mathematical Statistics 25(4), pp. 631--650.
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.