Package: sdprisk
Type: Package
Version: 1.1-3
Date: 2015-05-14
Title: Measures of Risk for the Compound Poisson Risk Process with
        Diffusion
Authors@R: c(person(given  = 'Benjamin',
                    family = 'Baumgartner',
                    email  = 'benjamin@baumgrt.com',
                    role   = c('aut', 'cre')),
             person(given  = 'Riccardo',
                    family = 'Gatto',
                    email  = 'gatto@stat.unibe.ch',
                    role   = c('ctb', 'ths')),
             person(given  = 'Sebastian',
                    family = 'Szugat',
                    email  = 'szugat@statistik.tu-dortmund.de',
                    role   = c('ctb')))
Maintainer: Benjamin Baumgartner <benjamin@baumgrt.com>
Description: The main purpose of this package is to provide saddlepoint
    approximations to some measures of risk, based on the compound Poisson risk
    process that is perturbed by a Brownian motion.  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).
License: AGPL-3
Imports: numDeriv, PolynomF, rootSolve
NeedsCompilation: yes
Packaged: 2015-05-14 21:22:37 UTC; benjamin
Author: Benjamin Baumgartner [aut, cre],
  Riccardo Gatto [ctb, ths],
  Sebastian Szugat [ctb]
Repository: CRAN
Date/Publication: 2015-05-15 00:58:01
Built: R 3.1.3; x86_64-apple-darwin10.8.0; 2015-05-15 09:46:21 UTC; unix
Archs: sdprisk.so.dSYM
