computeRuin: Ruin probability computation with infinite time horizon
In arolluom/RcmdrPlugin.RiskDemo: R Commander Plug-in for Risk Demonstration

Description Usage Arguments Value Author(s) References See Also Examples

This function uses classical ruin theory to compute either ruin probability, safety loading or initial capital, given two of them. The time horizon is infinite. Gamma distribution is used to model claim sizes.

1	computeRuin(U0 = NULL, theta = NULL, eps = NULL, alpha, beta)

`U0`	initial capital
`theta`	safety loading
`eps`	ruin probability
`alpha`	shape parameter of gamma distribution
`beta`	rate parameter of gamma distribution

The value is a list with the following components:

`LundbergExp`	Lundberg's exponent R
`initialCapital`	initial capital
`safetyLoading`	safety loading
`ruinProb`	ruin probability

Arto Luoma <arto.luoma@wippies.com>

Gray and Pitts (2012) Risk Modelling in General Insurance: From Principles to Practice, Cambridge University Press.

computeRuinFinite, solveLund

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computeRuin(U0=1000,theta=0.01,alpha=1,beta=0.1)
computeRuin(eps=0.005,theta=0.01,alpha=1,beta=0.1)
computeRuin(U0=5399.24,eps=0.005,alpha=1,beta=0.1)