computeRuinFinite: Ruin probability computation with finite time horizon

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

Ruin probability computation with finite 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 finite. Gamma distribution is used to model claim sizes.

Usage

computeRuinFinite(T0, U0 = NULL, theta = NULL, eps = NULL, lambda, 
                  alpha, beta)

Arguments

T0	time horizon (in years)
U0	initial capital
theta	safety loading
eps	ruin probability
lambda	claim intensity (mean number of claims per year)
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]>

See Also

computeRuin, solveLund

Examples

computeRuinFinite(T0=100,U0=1000,theta=0.01,lambda=100,alpha=1,beta=0.1)
computeRuinFinite(T0=1,eps=0.005,theta=0.001,lambda=100,alpha=1,beta=0.1)
computeRuinFinite(T0=500,U0=5347,eps=0.005,lambda=100,alpha=1,beta=0.1)

RcmdrPlugin.RiskDemo documentation built on June 22, 2024, 7:06 p.m.