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

Description Usage Arguments Value Author(s) 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 finite. Gamma distribution is used to model claim sizes.

1	computeRuinFinite(T0, U0 = NULL, theta = NULL, eps = NULL, lambda, alpha, beta)

`T0`	time horizon (in years)
`U0`	initial capital
`theta`	safety loading
`eps`	ruin probability
`lambda`	claim intensity (mean number of claims per year)
`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>

computeRuin, solveLund

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computeRuinFinite(T0=100,U0=1000,theta=0.01,lambda=100,alpha=1,beta=0.1)
computeRuinFinite(T0=1,eps=0.005,theta=0.001,lambda=100,alpha=1,beta=0.1)
computeRuinFinite(T0=500,U0=5347,eps=0.005,lambda=100,alpha=1,beta=0.1)