XploRe Help : INSexactexp

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:	INSCramer INSexactgam

Quantlet:		INSexactexp
Description:		produces the exact ruin probability in infinite time for insurance collective risk model with exponential claims.

Reference(s):

P. Cizek, W. Haerdle, R. Weron (2004): "Statistical Tools for Finance and Insurance"

Usage:	`y = INSexactexp(u, theta, 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
	`dparameters`	list of scalars, parameters of loss distribution
Output:
	`y`	scalar, n x 1 vector or m x n matrix (same dimension as u), exact ruin probability.

Note:

In this example the exact ruin probability is calculated for exponential loss distribution, safety loading 0.3 and a vector of values from 0 to 10 as initial capital.

Example:

library("insurance") dparameters = list(0.2) ; exponential distribution u = #(0:10) theta = 0.3 y = INSexactexp(u, theta, dparameters) y

Result:

Contents of y
[ 1,]    0.76923
[ 2,]    0.73453
[ 3,]    0.7014
[ 4,]    0.66977
[ 5,]    0.63956
[ 6,]    0.61071
[ 7,]    0.58316
[ 8,]    0.55686
[ 9,]    0.53174
[10,]    0.50776
[11,]    0.48486

Author: P. Mista, 20031218 license MD*Tech