Library: | insurance |
See also: | INSexactexp INSexactgam |
Quantlet: | INSexactmix2exps | |
Description: | produces the exact ruin probability in infinite time for insurance collective risk model with mixture of 2 exponentials loss distribution. |
Usage: | y = INSexactmix2exps(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, composed of 2 vectors containing the parameters of loss distribution: exponential parameters (first vector) and weights (second vector) | |
Output: | ||
y | scalar, n x 1 vector or m x n matrix (same dimension as u), exact ruin probability, |
library("insurance") dparameters = list( #(0.2,1.5), #(0.3,0.7) ) ; the first - parameters of exponentials, the second - weights u = #(0:10) theta = 0.3 y = INSexactmix2exps(u, theta, dparameters) y
Contents of y [ 1,] 0.76923 [ 2,] 0.70156 [ 3,] 0.65634 [ 4,] 0.61893 [ 5,] 0.58507 [ 6,] 0.55346 [ 7,] 0.52367 [ 8,] 0.49552 [ 9,] 0.4689 [10,] 0.4437 [11,] 0.41986