computeRuin: Ruin probability computation with infinite time horizon

In RcmdrPlugin.RiskDemo: R Commander Plug-in for Risk Demonstration

Ruin probability computation with infinite time horizon

Description

This function uses classical ruin theory to compute either ruin probability, safety loading or initial capital, given two of them. The time horizon is infinite. Gamma distribution is used to model claim sizes.

Usage

computeRuin(U0 = NULL, theta = NULL, eps = NULL, alpha, beta)

Arguments

U0	initial capital
theta	safety loading
eps	ruin probability
alpha	shape parameter of gamma distribution
beta	rate parameter of gamma distribution

Value

The value is a list with the following components:

LundbergExp	Lundberg's exponent R
initialCapital	initial capital
safetyLoading	safety loading
ruinProb	ruin probability

Author(s)

Arto Luoma <[e-mail]>

References

Gray and Pitts (2012) Risk Modelling in General Insurance: From Principles to Practice, Cambridge University Press.

See Also

computeRuinFinite, solveLund

Examples

computeRuin(U0=1000,theta=0.01,alpha=1,beta=0.1)
computeRuin(eps=0.005,theta=0.01,alpha=1,beta=0.1)
computeRuin(U0=5399.24,eps=0.005,alpha=1,beta=0.1)

RcmdrPlugin.RiskDemo documentation built on Nov. 13, 2023, 5:07 p.m.