computeRuinFinite: Ruin probability computation with finite time horizon

Description Usage Arguments Value Author(s) See Also Examples

View source: R/computeRuinFinite.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 finite. Gamma distribution is used to model claim sizes.

Usage

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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 <arto.luoma@wippies.com>

See Also

computeRuin, solveLund

Examples

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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)

Example output

Loading required package: rgl
Loading required package: demography
Loading required package: forecast
This is demography 1.22 

Warning messages:
1: In rgl.init(initValue, onlyNULL) : RGL: unable to open X11 display
2: 'rgl_init' failed, running with rgl.useNULL = TRUE 
3: .onUnload failed in unloadNamespace() for 'rgl', details:
  call: fun(...)
  error: object 'rgl_quit' not found 
4: no DISPLAY variable so Tk is not available 
$LundbergExp
[1] 0.0009807838

$initialCapital
[1] 1000

$safetyLoading
[1] 0.01

$ruinProb
[1] 0.3715309

$LundbergExp
[1] 6.103516e-05

$initialCapital
[1] 512.3447

$safetyLoading
[1] 0.001

$ruinProb
[1] 0.005

$LundbergExp
[1] 0.0009908953

$initialCapital
[1] 5347

$safetyLoading
[1] 0.009999957

$ruinProb
[1] 0.005

RcmdrPlugin.RiskDemo documentation built on April 6, 2021, 5:06 p.m.