RcmdrPlugin.RiskDemo (version 1.9)

computeRuinFinite: Ruin probability computation with finite time horizon

Description

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.

Usage

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

Arguments

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

Value

The value is a list with the following components:

LundbergExp

Lundberg's exponent R

initialCapital

initial capital

safetyLoading

safety loading

ruinProb

ruin probability

See Also

computeRuin, solveLund

Examples

# NOT RUN {
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)
# }