SWIM

Scenario Weights for Importance Measurement

v1.0.0 · Jan 9, 2022 · GPL-3

Description

An efficient sensitivity analysis for stochastic models based on Monte Carlo samples. Provides weights on simulated scenarios from a stochastic model, such that stressed random variables fulfil given probabilistic constraints (e.g. specified values for risk measures), under the new scenario weights. Scenario weights are selected by constrained minimisation of the relative entropy to the baseline model. The 'SWIM' package is based on Pesenti S.M., Millossovich P., Tsanakas A. (2019) "Reverse Sensitivity Testing: What does it take to break the model" <openaccess.city.ac.uk/id/eprint/18896/> and Pesenti S.M. (2021) "Reverse Sensitivity Analysis for Risk Modelling" <https://www.ssrn.com/abstract=3878879>.

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r-devel-linux-x86_64-debian-clang	NOTE	136.8s
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Maintainer: ‘Silvana M. Pesenti <swimpackage@gmail.com>’

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NOTE 0 OK · 14 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026

NOTE r-devel-linux-x86_64-debian-clang

CRAN incoming feasibility

Maintainer: ‘Silvana M. Pesenti <swimpackage@gmail.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.

NOTE r-devel-linux-x86_64-debian-gcc

CRAN incoming feasibility

Maintainer: ‘Silvana M. Pesenti <swimpackage@gmail.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.

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Dependency Network

Version History

new 1.0.0 Mar 9, 2026

Maintainer

Silvana M. Pesenti

Dependencies

Depends

R (>= 3.5.0)

Imports

Rdpack (>= 0.7) Hmisc nleqslv reshape2 plyr ggplot2 stats

Suggests

testthat mvtnorm spelling Weighted.Desc.Stat knitr rmarkdown bookdown ggpubr

Compilation

No compilation needed

First Published

Mar 9, 2026

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