SparreAndersen-class: A formal S4 class SparreAndersen
In irudnyts/ruin: Simulation of Various Risk Processes
Description
Details
Slots
References
See Also
Description
A formal S4 class representation of classical Sparre Andersen model.
Details
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 renewal process defined
by distribution of interarrival times (claim_interarrival_generator
and claim_interarrival_parameters), Y_i are iid claim sizes
(claim_size_generator and claim_size_parameters).
Objects of class can be created only by using the constructor
SparreAndersen.
Slots
initial_capitala length one numeric non-negative vector specifying an
initial capital.
premium_ratea length one numeric non-negative vector specifying a
premium rate.
claim_interarrival_generatora function indicating the random
generator of claims' interarrival times.
claim_interarrival_parametersa named list containing parameters for
the random generator of claims' interarrival times.
claim_size_generatora function indicating the random generator of
claims' sizes.
claim_size_parametersa named list containing parameters for the
random generator of claims' sizes.
References
Andersen, E. Sparre. On the collective theory of risk in case of
contagion between claims. Transactions of the XVth International Congress
of Actuaries, 2(6), 1957.
Thorin O. Some Comments on the Sparre Andersen Model in the Risk
Theory. ASTIN Bulletin: The Journal of the IAA, 8(1):104-125, 1974.
See Also
irudnyts/ruin documentation built on May 15, 2019, 2:52 a.m.
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Description Details Slots References See Also
Description
A formal S4 class representation of classical Sparre Andersen model.
Details
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 renewal process defined
by distribution of interarrival times (claim_interarrival_generator
and claim_interarrival_parameters), Y_i are iid claim sizes
(claim_size_generator and claim_size_parameters).
Objects of class can be created only by using the constructor
SparreAndersen.
Slots
initial_capitala length one numeric non-negative vector specifying an initial capital.
premium_ratea length one numeric non-negative vector specifying a premium rate.
claim_interarrival_generatora function indicating the random generator of claims' interarrival times.
claim_interarrival_parametersa named list containing parameters for the random generator of claims' interarrival times.
claim_size_generatora function indicating the random generator of claims' sizes.
claim_size_parametersa named list containing parameters for the random generator of claims' sizes.
References
Andersen, E. Sparre. On the collective theory of risk in case of contagion between claims. Transactions of the XVth International Congress of Actuaries, 2(6), 1957.
Thorin O. Some Comments on the Sparre Andersen Model in the Risk Theory. ASTIN Bulletin: The Journal of the IAA, 8(1):104-125, 1974.
See Also
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