sdprisk: Measures of Risk for the Compound Poisson Risk Process with
This package provides saddlepoint approximations to some
measures of risk based on the compound Poisson risk process
that is perturbated by a Brownian motion. It also includes
various approximation methods for the probability of ruin.
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).