ruin (version 0.1.1)

CramerLundbergCapitalInjections: Constructs an object of CramerLundbergCapitalInjections S4 class

Description

CramerLundbergCapitalInjections() constructs an object of CramerLundbergCapitalInjections S4 class.

Usage

CramerLundbergCapitalInjections(initial_capital = NULL, premium_rate = NULL,
  claim_poisson_arrival_rate = NULL, claim_size_generator = NULL,
  claim_size_parameters = NULL, capital_injection_poisson_rate = NULL,
  capital_injection_size_generator = NULL,
  capital_injection_size_parameters = NULL)

Arguments

initial_capital

a length one numeric non-negative vector specifying an initial capital. Default: 0.

premium_rate

a length one numeric non-negative vector specifying a premium rate. Default: 1.

claim_poisson_arrival_rate

a length one numeric positive vector specifying the rate of the Poisson process of claims' arrivals. Default: 1.

claim_size_generator

a function indicating the random generator of claims' sizes. Default: rexp.

claim_size_parameters

a named list containing parameters for the random generator of claims' sizes. Default: list(rate = 1).

capital_injection_poisson_rate

a length one numeric positive vector specifying the rate of the Poisson process of capital injections' arrivals. Default: 1.

capital_injection_size_generator

a function indicating the random generator of capital injections' sizes. Default: rexp.

capital_injection_size_parameters

a named list containing parameters for the random generator of capital injections' sizes. Default: list(rate = 1).

Value

An object of '>CramerLundbergCapitalInjections class.

Details

The function constructs an object of a formal S4 class CramerLundbergCapitalInjections, a representation of an extension of Cramer-Lundberg model that allows for positive jumps and defined as follows: $$X_(t) = u + ct + \sum_{k=1}^{N^{(+)}(t)} Y^{(+)}_k - \sum_{i=1}^{N^{(-)}(t)} Y^{(-)}_i$$ where \(u\) is the initial capital (initial_capital), \(c\) is the premium rate (premium_rate), \(N^{(+)}(t)\) is the Poisson process of positive jumps (capital injections) with intensity \(\lambda^{(+)}\) (capital_injection_poisson_rate), \(Y^{(+)}_k\) are iid capital injections' sizes (capital_injection_size_generator and capital_injection_size_parameters), \(N^{(-)}(t)\) is the Poisson process of negative jumps (claims) with intensity \(\lambda^{(-)}\) (claim_poisson_arrival_rate), \(Y^{(-)}_i\) are iid claim sizes (claim_size_generator and claim_size_parameters).

References

Breuera L., Badescu A. L. A generalised Gerber Shiu measure for Markov-additive risk processes with phase-type claims and capital injections. Scandinavian Actuarial Journal, 2014(2): 93-115, 2014.

See Also

CramerLundberg, SparreAndersen, link{SparreAndersenCapitalInjections}.

Examples

# NOT RUN {
model <- CramerLundbergCapitalInjections(
  initial_capital = 10,
  premium_rate = 1,
  claim_poisson_arrival_rate = 1,
  claim_size_generator = rexp,
  claim_size_parameters = list(rate = 1),
  capital_injection_poisson_rate = 1,
  capital_injection_size_generator = rexp,
  capital_injection_size_parameters = list(rate = 1)
)

# }