Compound Poisson Risk Process with Diffusion

Description

Creates an R object representing a compound Poisson risk process with Gaussian diffusion, which contains some or all information necessary for further processing.

Usage

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riskproc(claims, premium, freq, variance)
is.riskproc(x)

Arguments

claims

a claiminfo object.

premium

premium rate.

freq

claim frequency.

variance

squared volatility of the Wiener component; currently only implemented for variance > 0.

x

an R object.

Details

Given the arguments, most prominently claims, various auxialiary parameters and functions associated with the risk process to be represented are calculated.

Value

riskproc returns an object of the class "riskproc". Internally, this is a list containing various elements (depending on the information provided in the arguments).

is.riskproc returns TRUE if x is a "riskproc" object, and FALSE otherwise.

See Also

claiminfo for more details about passing on information about the distribution of the individual claim amounts.

Examples

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## A risk process with hypo-exponentially distributed individual claim amounts
riskproc(
    claims   = claiminfo(hypoexp = list(rates = c(1, 10))),
    premium  = 2,
    freq     = 1,
    variance = 0.4
)