SparreAndersen: Constructs an object of SparreAndersen S4 class
In ruin: Simulation of Various Risk Processes

Description Usage Arguments Details Value References See Also Examples

SparreAndersen() constructs an object of SparreAndersen S4 class.

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SparreAndersen(initial_capital = NULL, premium_rate = NULL,
  claim_interarrival_generator = NULL, claim_interarrival_parameters = NULL,
  claim_size_generator = NULL, claim_size_parameters = NULL)

`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_interarrival_generator`	a function indicating the random generator of claims' interarrival times. Default: `rexp`.
`claim_interarrival_parameters`	a named list containing parameters for the random generator of claims' interarrival times. Default: `list(rate = 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)`.

The function constructs an object of a formal S4 class SparreAndersen, a representation of an extension of Cramer-Lundberg model that allows for non-exponential interarrival times and defined as follows:

X(t) = u + ct - ∑_{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 renewal process defined by distribution of interarrival times (claim_interarrival_generator and claim_interarrival_parameters), Y_i are iid claim sizes (claim_size_generator and claim_size_parameters).

An object of SparreAndersen class.

Andersen, E. Sparre. On the collective theory of risk in case of contagion between claims. Transactions of the XVth International Congress of Actuaries, 2(6), 1957.
Thorin O. Some Comments on the Sparre Andersen Model in the Risk Theory. ASTIN Bulletin: The Journal of the IAA, 8(1):104-125, 1974.

CramerLundberg, CramerLundbergCapitalInjections, link{SparreAndersenCapitalInjections}.

model <- SparreAndersen(
  initial_capital = 10,
  premium_rate = 1,
  claim_interarrival_generator = rexp,
  claim_interarrival_parameters = list(rate = 1),
  claim_size_generator = rexp,
  claim_size_parameters = list(rate = 1)
)