ruin (0.1.1)

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Simulation of Various Risk Processes.

http://github.com/irudnyts/ruin
http://cran.r-project.org/web/packages/ruin

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) ). 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.

Maintainer: Iegor Rudnytskyi
Author(s): Iegor Rudnytskyi [aut, cre]

License: GPL-3

Uses: ggplot2, actuar, testthat, knitr, rmarkdown

Released about 1 year ago.


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