The intention of the package is to provide simulation methods of common risk processes in a framework of ruin theory. Each model is implemented as an S4 class, having 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, namely, Cramer-Lundberg and Sparre Andersen models by including capital injections (positive jumps).
The package is not yet submitted to CRAN. Instead, you can install ruin from github with:
library(ruin)
#> Set default RNG to L'Ecuyer-CMRG for a safe parallel simulation.
model <- CramerLundberg(
initial_capital = 10,
premium_rate = 1,
claim_poisson_arrival_rate = 1,
claim_size_generator = rexp,
claim_size_parameters = list(rate = 1)
)
ruin_probability(model = model, time_horizon = 10, return_paths = FALSE)
#> $ruin_probability
#> lower_bound estimate upper_bound
#> 0.03692248 0.04080000 0.04467752