Usage: |
y = INSdiffin(u, T, lambda, theta, distrib, dparameters)
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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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| T | scalar or p x 1 vector, time horizon for risk process, vector allowed only when u is not a matrix
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| lambda | scalar, intensity of loss arrivals driven by Poisson 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 of scalars, parameters of the following distributions: exponential, gamma, Weibull, lognormal, loggamma, Pareto, burr or truncPareto
list of n x 1 vectors of 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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Output: |
| y | scalar, p x 1 or n x 1 vector (size of T or u) or p x n matrix or m x n matrix, ruin probability in finite time horizon T
given by diffusion approximation. |