Library: | insurance |
See also: | INSDeVylder INSadjR |
Quantlet: | INSCramer | |
Description: | produces the Cramer approximation of ruin probability in infinite time for insurance collective risk model. |
Usage: | y = INSCramer(u, theta, distrib, dparameters) | |
Input: | ||
u | scalar, n x 1 vector or m x n matrix, initial capital for risk process | |
theta | scalar, security loading in insurance collective risk model | |
distrib | string, name of light-tailed distribution of claims, either gamma, exponential or mixofexps | |
dparameters | list of scalars, parameters of loss distribution | |
Output: | ||
y | scalar, n x 1 vector or m x n matrix (same dimension as u), ruin probability given by Cramer approximation. |
library("insurance") library("distribs") distrib = "gamma" dparameters = list(0.2,0.7) u = #(0:10) theta = 0.3 y = INSCramer(u, theta, distrib, dparameters) y
Contents of y [ 1,] 0.7183 [ 2,] 0.55717 [ 3,] 0.43219 [ 4,] 0.33524 [ 5,] 0.26004 [ 6,] 0.20171 [ 7,] 0.15646 [ 8,] 0.12136 [ 9,] 0.094138 [10,] 0.073021 [11,] 0.056641