computeRuin: Ruin probability computation with infinite time horizon

Description Usage Arguments Value Author(s) References See Also Examples

View source: R/computeRuin.R

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

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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 <arto.luoma@wippies.com>

References

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

See Also

computeRuinFinite, solveLund

Examples

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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 April 6, 2021, 5:06 p.m.