XploRe Help : INSexactgam

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 INSexactexp

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

Reference(s):

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

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

Note:

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

Example:

library("insurance") library("distribs") dparameters = list(0.2,0.7) ; gamma distribution u = #(0:10) theta = 0.3 y = INSexactgam(u, theta, dparameters) y

Result:

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

Author: P. Mista, 20031218 license MD*Tech