RcmdrPlugin.RiskDemo (version 3.2)

drawRuin: Plotting simulations of a surplus process

Description

This function plots simulation paths of a surpluss process. The claims are assumed to arrive according to a Poisson process and the claim sizes are assumed to be gamma distributed.

Usage

drawRuin(nsim = 10, Tup = 10, U0 = 1000, theta = 0.01, 
         lambda = 100, alpha = 1, beta = 0.1)

Value

No value; only a figure is plotted.

Arguments

nsim

number of simulations

Tup

maximum value in the time axis

U0

initial capital

theta

risk loading

lambda

intensity of claim process (mean number of claims per year)

alpha

shape parameter of gamma distribution

beta

rate parameter of gamma distribution

Author

Arto Luoma <[e-mail]>

References

Kaas, Goovaerts, Dhaene, Denuit (2008) Modern actuarial risk theory using R, 2nd ed., Springer.

See Also

computeRuinFinite,

Examples

computeRuinFinite(T0=10,U0=1000,eps=0.05,lambda=100,alpha=1,beta=0.1)
drawRuin(nsim=10,Tup=10,U0=1000,theta=0.0125,lambda=100,alpha=1,beta=0.1)