Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: insurance
See also: INSDeVylder INSadjR

Quantlet: INSCramer
Description: produces the Cramer approximation of ruin probability in infinite time for insurance collective risk model.

Reference(s):

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.

Note:

Example:
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

Result:
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



Author: P. Mista, 20031218 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006