Package: ruin 0.1.1

Iegor Rudnytskyi

ruin: Simulation of Various Risk Processes

A (not yet exhaustive) collection of common models of risk processes in actuarial science, represented as formal S4 classes. Each class (risk model) has a simulator of its path, and a plotting function. Further, a Monte-Carlo estimator of a ruin probability for a finite time is implemented, using a parallel computation. Currently, the package extends two classical risk models Cramer-Lundberg and Sparre Andersen models by including capital injections, that are positive jumps (see Breuer L. and Badescu A.L. (2014) <doi:10.1080/03461238.2011.636969>). The intent of the package is to provide a user-friendly interface for ruin processes' simulators, as well as a solid and extensible structure for future extensions.

Authors:Iegor Rudnytskyi [aut, cre]

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ruin.pdf |ruin.html✨
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Bug tracker:https://github.com/irudnyts/ruin/issues

On CRAN:

7 exports 2 stars 0.83 score 28 dependencies 15 scripts 121 downloads

Last updated 6 years agofrom:664117bc3d. Checks:OK: 7. Indexed: yes.

Exports:CramerLundbergCramerLundbergCapitalInjectionsplot_pathruin_probabilitysimulate_pathSparreAndersenSparreAndersenCapitalInjections

Dependencies:clicolorspacefansifarverggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigR6RColorBrewerrlangscalestibbleutf8vctrsviridisLitewithr