Description Details Slots References See Also
A formal S4 class representation of classical Cramer-Lundberg model.
The model is defined as follows:
X(t) = u + ct - ∑_{i=1}^{N(t)} Y_i,
where u is the initial capital (initial_capital
), c is the
premium rate (premium_rate
), N(t) is the Poisson process with
intensity λ (claim_poisson_arrival_rate
), Y_i are
iid claim sizes (claim_size_generator
and claim_size_parameters
).
Objects of class can be created only by using the constructor
CramerLundberg
.
initial_capital
a length one numeric non-negative vector specifying an initial capital.
premium_rate
a length one numeric non-negative vector specifying a premium rate.
claim_poisson_arrival_rate
a length one numeric positive vector specifying the rate of the Poisson process of claims' arrivals.
claim_size_generator
a function indicating the random generator of claims' sizes.
claim_size_parameters
a named list containing parameters for the random generator of claims' sizes.
Albrecher H., Asmussen A. Ruin Probabilities. World Scientific, 2010.
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