XploRe Help : INSexactmix2exps

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:	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.

Reference(s):

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

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,

Note:

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

Example:

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

Result:

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

Author: P. Mista, 20031218 license MD*Tech