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sdprisk  

Measures of Risk for the Compound Poisson Risk Process with Diffusion
View on CRAN: Click here


Download and install sdprisk package within the R console
Install from CRAN:
install.packages("sdprisk")

Install from Github:
library("remotes")
install_github("cran/sdprisk")

Install by package version:
library("remotes")
install_version("sdprisk", "1.1-6")



Attach the package and use:
library("sdprisk")
Maintained by
Benjamin Baumgartner
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2012-03-23
Latest Update: 2019-04-29
Description:
Based on the compound Poisson risk process that is perturbed by a Brownian motion, saddlepoint approximations to some measures of risk are provided. Various approximation methods for the probability of ruin are also included. Furthermore, exact values of both the risk measures as well as the probability of ruin are available if the individual claims follow a hypo-exponential distribution (i. e., if it can be represented as a sum of independent exponentially distributed random variables with different rate parameters). For more details see Gatto and Baumgartner (2014) .
How to cite:
Benjamin Baumgartner (2012). sdprisk: Measures of Risk for the Compound Poisson Risk Process with Diffusion. R package version 1.1-6, https://cran.r-project.org/web/packages/sdprisk. Accessed 06 Jun. 2026.
Previous versions and publish date:
0.9-518 (2012-03-23 06:56), 0.9-727 (2012-11-26 13:40), 1.0-0 (2013-05-01 07:12), 1.0-3 (2013-12-30 15:56), 1.1-0 (2015-04-29 14:56), 1.1-3 (2015-05-15 00:58), 1.1-5 (2016-12-31 01:41)
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