prodint

This function calculates the product integral of a matrix function from s to t.
It uses a Runge-Kutta method implemented in C++ for efficiency.

Calculates insurance reserves and equivalence premiums using advanced numerical methods, including the Runge-Kutta algorithm and product integrals for transition probabilities. This package is useful for actuarial analyses and life insurance modeling, facilitating accurate financial projections.

Oskar Allerslev

lifepack

Insurance Reserve Calculations

prodint function

<dl><dt>A</dt>
<dd>A function returning a matrix (intensity matrix)</dd>
<dt>s</dt>
<dd>Initial timepoint</dd>
<dt>t</dt>
<dd>End timepoint</dd>
<dt>n</dt>
<dd>Number of steps for the Runge-Kutta algorithm</dd></dl>

Arguments

Productintegral (C++ optim) — prodint

<dl>

<dt>A</dt>
<dd>A function returning a matrix (intensity matrix)</dd>


<dt>s</dt>
<dd>Initial timepoint</dd>


<dt>t</dt>
<dd>End timepoint</dd>


<dt>n</dt>
<dd>Number of steps for the Runge-Kutta algorithm</dd>

</dl>

prodint: Productintegral (C++ optim)

Description

Usage

Value

Arguments