Usage: |
y = INSexactexpfin(u, T, lambda, theta, dparameters)
|
Input: |
| u | scalar, n x 1 vector or m x n matrix, initial capital for risk process
|
| T | scalar or p x 1 vector, time horizon for risk process, vector allowed when u is not a matrix
|
| lambda | scalar, intensity of loss arrivals driven by Poisson process
|
| theta | scalar, security loading in insurance collective risk model
|
| dparameter | scalar, parameter of loss distribution
|
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. |
- Example:
library("insurance")
dparameter = 0.2 ; exponential distribution
u = #(1:10)
T = 100
lambda = 5
theta = 0.3
y = INSexactexpfin(u, T, lambda, theta, dparameter)
y
- Result:
Contents of y
[ 1,] 0.73453
[ 2,] 0.70140
[ 3,] 0.66977
[ 4,] 0.63956
[ 5,] 0.61071
[ 6,] 0.58316
[ 7,] 0.55686
[ 8,] 0.53174
[ 9,] 0.50776
[10,] 0.48486
- Example:
library("insurance")
library("xplore")
dparameter = 0.2
u = #(1:5)
T = #(1:10)
lambda = 5
theta = 0.3
y = INSexactexpfin(u, T, lambda, theta, dparameter)
y
- Result:
Contents of y
[ 1,] 0.61081 0.56569 0.52345 0.48394 0.44703
[ 2,] 0.66798 0.62771 0.58956 0.55345 0.51928
[ 3,] 0.69145 0.65353 0.61747 0.58321 0.55066
[ 4,] 0.70424 0.66767 0.63285 0.59970 0.56815
[ 5,] 0.71219 0.67649 0.64247 0.61005 0.57916
[ 6,] 0.71752 0.68242 0.64895 0.61703 0.58660
[ 7,] 0.72128 0.68661 0.65353 0.62198 0.59189
[ 8,] 0.72403 0.68968 0.65689 0.62561 0.59577
[ 9,] 0.72610 0.69198 0.65942 0.62835 0.59869
[10,] 0.72769 0.69376 0.66136 0.63045 0.60094