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