XploRe Help : INSltraffic

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:	INShtraffic INShltraffic

Quantlet:		INSltraffic
Description:		produces the light traffic approximation of ruin probability in infinite time for insurance collective risk model.

Reference(s):

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

Usage:	`y = INSltraffic(u, theta, distrib, 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
	`distrib`	string, name of distribution of claims, either: exponential, gamma, mixofexps, Weibull, lognormal, loggamma, Pareto, Burr or truncPareto.
	`dparameters`	list of scalars, parameters of the following distributions: exponential, gamma, Weibull, lognormal, loggamma, Pareto, Burr or truncPareto list of n x 1 vectors of parameters of "mixofexps" distribution, the first vector are parameters for the exponential distributions and the second one are the weights of mixing.
Output:
	`y`	scalar, n x 1 vector or m x n matrix (same dimension as u), ruin probability given by light traffic approximation.

Note:

In this example the loss distribution is gamma, safety loading 0.3 and initial capital a vector from values 0 to 10. The light traffic approximation exists if the first raw moment of loss distribution exists.

Example:

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

Result:

Contents of y

[ 1,]  0.76923
[ 2,]  0.22341
[ 3,]  0.085329
[ 4,]  0.034712
[ 5,]  0.014368
[ 6,]  0.0057946
[ 7,]  0.002074
[ 8,]  0.00042641
[ 9,]  0
[10,]  0
[11,]  0

Author: P. Mista, 20031218 license MD*Tech