Library: | insurance |
See also: | INSCramer INSexactexp |
Quantlet: | INSexactgam | |
Description: | produces the exact ruin probability in infinite time for insurance collective risk model with gamma claims. |
Usage: | y = INSexactgam(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, the 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") library("distribs") dparameters = list(0.2,0.7) ; gamma distribution u = #(0:10) theta = 0.3 y = INSexactgam(u, theta, dparameters) y
Contents of y [ 1,] 0.76919 [ 2,] 0.56626 [ 3,] 0.43507 [ 4,] 0.33628 [ 5,] 0.26044 [ 6,] 0.20187 [ 7,] 0.15653 [ 8,] 0.12139 [ 9,] 0.09415 [10,] 0.073026 [11,] 0.056643