XploRe Help : INSexactexpfin

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:	INSdiffin INSDeVylderfin

Quantlet:		INSexactexpfin
Description:		produces the exact ruin probability in finite time horizon for insurance collecitive risk model with exponential claims.

Reference(s):

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

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.

Note:

In this example the intesity of loss arrivals is 5, safety loading 0.3, initial capital a vector of values from 1 to 10 and time horizon 100.

Note:

In this example the initial capital is a vector of values from 1 to 5 and time horizon a a vector of values from 1 to 10. Lambda and theta are the same as above.

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

Author: P. Mista, 20031218 license MD*Tech