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.

Version: 0.1.1
Depends: R (≥ 3.5.0)
Imports: methods, parallel, ggplot2 (≥ 2.2.1)
Suggests: testthat, actuar (≥ 2.3.0), knitr, rmarkdown
Published: 2018-07-30
Author: Iegor Rudnytskyi [aut, cre]
Maintainer: Iegor Rudnytskyi <iegor.rudnytskyi at>
License: GPL-3
NeedsCompilation: no
Materials: README NEWS
CRAN checks: ruin results


Reference manual: ruin.pdf
Vignettes: A Very Short Introduction to ruin
Package source: ruin_0.1.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel: not available
OS X binaries: r-release: ruin_0.1.1.tgz, r-oldrel: not available


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