CramerLundbergCapitalInjections: Constructs an object of CramerLundbergCapitalInjections S4...

In ruin: Simulation of Various Risk Processes

Description

CramerLundbergCapitalInjections() constructs an object of CramerLundbergCapitalInjections S4 class.

Usage

CramerLundbergCapitalInjections(initial_capital = NULL, premium_rate = NULL,
  claim_poisson_arrival_rate = NULL, claim_size_generator = NULL,
  claim_size_parameters = NULL, capital_injection_poisson_rate = NULL,
  capital_injection_size_generator = NULL,
  capital_injection_size_parameters = NULL)

Arguments

initial_capital	a length one numeric non-negative vector specifying an initial capital. Default: 0.
premium_rate	a length one numeric non-negative vector specifying a premium rate. Default: 1.
claim_poisson_arrival_rate	a length one numeric positive vector specifying the rate of the Poisson process of claims' arrivals. Default: 1.
claim_size_generator	a function indicating the random generator of claims' sizes. Default: rexp.
claim_size_parameters	a named list containing parameters for the random generator of claims' sizes. Default: list(rate = 1).
capital_injection_poisson_rate	a length one numeric positive vector specifying the rate of the Poisson process of capital injections' arrivals. Default: 1.
capital_injection_size_generator	a function indicating the random generator of capital injections' sizes. Default: rexp.
capital_injection_size_parameters	a named list containing parameters for the random generator of capital injections' sizes. Default: list(rate = 1).

Details

The function constructs an object of a formal S4 class CramerLundbergCapitalInjections, a representation of an extension of Cramer-Lundberg model that allows for positive jumps and defined as follows:

X_(t) = u + ct + ∑_{k=1}^{N^{(+)}(t)} Y^{(+)}_k - ∑_{i=1}^{N^{(-)}(t)} Y^{(-)}_i

where u is the initial capital (initial_capital), c is the premium rate (premium_rate), N^{(+)}(t) is the Poisson process of positive jumps (capital injections) with intensity λ^{(+)} (capital_injection_poisson_rate), Y^{(+)}_k are iid capital injections' sizes (capital_injection_size_generator and capital_injection_size_parameters), N^{(-)}(t) is the Poisson process of negative jumps (claims) with intensity λ^{(-)} (claim_poisson_arrival_rate), Y^{(-)}_i are iid claim sizes (claim_size_generator and claim_size_parameters).

Value

An object of CramerLundbergCapitalInjections class.

References

Breuera L., Badescu A. L. A generalised Gerber Shiu measure for Markov-additive risk processes with phase-type claims and capital injections. Scandinavian Actuarial Journal, 2014(2): 93-115, 2014.

See Also

CramerLundberg, SparreAndersen, link{SparreAndersenCapitalInjections}.

Examples

model <- CramerLundbergCapitalInjections(
  initial_capital = 10,
  premium_rate = 1,
  claim_poisson_arrival_rate = 1,
  claim_size_generator = rexp,
  claim_size_parameters = list(rate = 1),
  capital_injection_poisson_rate = 1,
  capital_injection_size_generator = rexp,
  capital_injection_size_parameters = list(rate = 1)
)

ruin documentation built on May 2, 2019, 7:31 a.m.