Usage: |
y = INSPolKhin(u, theta, distrib, dparameters, N, niter)
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Input: |
| u | scalar, n x 1 vector or m x n matrix, initial capital for risk process
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| theta | scalar, security loading in insurance collective risk model
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| distrib | string, name of distribution of claims, either:
exponential, gamma, mixofexps, Weibull, lognormal, loggamma, Pareto, Burr or truncPareto.
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| dparameters | list, composed of scalars, (parameters of the following distributions: exponential, gamma, Weibull, lognormal, loggamma, Pareto, Burr or truncPareto)
or of n x 1 vectors (parameters of "mixofexps" distribution, the first vector are parameters for the exponential distributions and the second one are the weights of mixing).
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| N | scalar, number of simulated trajectories from risk process
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| niter | scalar, number of iterations of the procedure to be repeated
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Output: |
| y | scalar, n x 1 vector or m x n matrix (same dimension as u),
ruin probability simulated from Pollaczeck-Khinchine formula. |