drawRuin: Plotting simulations of a surplus process

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

Plotting simulations of a surplus process

Description

This function plots simulation paths of a surpluss process. The claims are assumed to arrive according to a Poisson process and the claim sizes are assumed to be gamma distributed.

Usage

drawRuin(nsim = 10, Tup = 10, U0 = 1000, theta = 0.01, 
         lambda = 100, alpha = 1, beta = 0.1)

Arguments

nsim	number of simulations
Tup	maximum value in the time axis
U0	initial capital
theta	risk loading
lambda	intensity of claim process (mean number of claims per year)
alpha	shape parameter of gamma distribution
beta	rate parameter of gamma distribution

Value

No value; only a figure is plotted.

Author(s)

Arto Luoma <[e-mail]>

References

Kaas, Goovaerts, Dhaene, Denuit (2008) Modern actuarial risk theory using R, 2nd ed., Springer.

See Also

computeRuinFinite,

Examples

computeRuinFinite(T0=10,U0=1000,eps=0.05,lambda=100,alpha=1,beta=0.1)
drawRuin(nsim=10,Tup=10,U0=1000,theta=0.0125,lambda=100,alpha=1,beta=0.1)

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