Adjustment Coefficient

Share:

Description

Returns the adjustment coefficient of a risk process with Gaussian diffusion.

Usage

1
adjcoef(process)

Arguments

process

An object of the class "riskproc".

Details

The moment-generating function of the individual claim amounts is required to be contained within the "claiminfo" element of process (see claiminfo). The only exception to this is the case of hypo-exponentially distributed claim amounts.

Value

The adjustment coefficient of the risk process represented by process. If the adjustment coefficient does not exist or cannot be computed for any reason, NULL is returned instead.

See Also

riskproc and claiminfo for more details on how to provide the information necessary to compute the adjustment coefficient.

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
## Setting up a risk process with hypo-exponentially distributed claims
myprocess <- riskproc(
    claims   = claiminfo(hypoexp = list(rates = c(1, 10))),
    premium  = 2,
    freq     = 1,
    variance = 0.4
)

## Return the adjustment coefficient
adjcoef(myprocess)