ruin_prob_ls: Computing finite-time ruin probability for compound poisson...

In haydo1117/pruin: Compute finite-time ruin probability via bivariate Laguerre series

Description

Computing finite-time ruin probability with initial surplus u and terminal time t, denoted ψ(u,t). Method described in "Finite-time ruin probabilities using bivariate Laguerre series" is used. For numerical stability, argument u_scale has to be tuned via uscale_search. In addition, u cannot be too large.

Usage

ruin_prob_ls(
  u,
  t,
  c,
  lambda,
  family,
  M = 20,
  psi_u = NULL,
  u_scale = 1,
  t_scale = 1,
  check = FALSE,
  include_error = FALSE
)

Arguments

u	Numerical of length 1. Initial surplus.
t	Numerical of length 1. Terminal time.
c	Numerical of length 1. Premium rate.
lambda	Numerical of length 1. Claim arrival rate ("lambda" parameter of the Poisson process).
family	An object returned by the family constructors, e.g. exponential()(), comb_exponential()(), gig()(), truncated_normal()() and weibull()().
M	Numerical of length 1. Default to be 20. How many Laguerre terms are used.
psi_u	Numerical of length 1 if not NULL. Whether a user-supplied ψ(u,t=∞) is used. For some distribution (e.g. exponential) this value can be computed analytically. It generally have negligible impact on the output.
u_scale	Numerical of length 1. Whether a monetary scale is applied. it would have a huge impact on the ouput. Recommend to use uscale_search to determine.
t_scale	Numerical of length 1. Whether a time scale is applied. It generally have negligible impact on the output.
check	Logical. Default to be FALSE. Whether to print some sensible checks.
include_error	Logical. Default to be FALSE. Whether to include the approximation error of ψ(u=0,t=∞).

Details

The net profit condition must be satisfied, i.e. c-lambda*family$mean>0.

Value

Numerical of length 1 if include_error is FALSE. Otherwise a list of length 2, with elements "res" and "err".

Examples

library(pruin)

ruin_prob_ls(u=10,t=2,c=1.1,lambda=1,family=exponential()(beta=1),u_scale = 0.6)

haydo1117/pruin documentation built on Feb. 12, 2022, 11:08 a.m.