sdprisk
Measures of Risk for the Compound Poisson Risk Process with Diffusion
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) <doi:10.1007/s11009-012-9316-5>.
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| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (2 non-OK)
CRAN incoming feasibility
Maintainer: ‘Benjamin Baumgartner <benjamin@baumgrt.com>’ Package CITATION file contains call(s) to old-style personList() or as.personList(). Please use c() on person objects instead. Package CITATION file contains call(s) to old-style citEntry(). Please use bibentry() instead.
CRAN incoming feasibility
Maintainer: ‘Benjamin Baumgartner <benjamin@baumgrt.com>’ Package CITATION file contains call(s) to old-style personList() or as.personList(). Please use c() on person objects instead. Package CITATION file contains call(s) to old-style citEntry(). Please use bibentry() instead.
Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
CRAN incoming feasibility
Maintainer: ‘Benjamin Baumgartner <benjamin@baumgrt.com>’ Package CITATION file contains call(s) to old-style personList() or as.personList(). Please use c() on person objects instead. Package CITATION file contains call(s) to old-style citEntry(). Please use bibentry() instead.
CRAN incoming feasibility
Maintainer: ‘Benjamin Baumgartner <benjamin@baumgrt.com>’ Package CITATION file contains call(s) to old-style personList() or as.personList(). Please use c() on person objects instead. Package CITATION file contains call(s) to old-style citEntry(). Please use bibentry() instead.