XploRe Help : INSpremgamma

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:	INSpremwei INSpremlogn INSprempareto INSprembur

Quantlet:		INSpremgamma
Description:		returns the values of premium in the case of (transformed) Gamma distribution of losses.

Reference(s):

J. Iwanik, J. Nowicka-Zagrajek "Premiums in the individual and collective risk models"

Usage:	`y = INSpremgamma (alpha, beta, x0, param, ind)`
Input:
	`alpha`	scalar, parameter alpha in transformed Gamma distribution
	`beta`	scalar, parameter beta in transformed Gamma distribution
	`x0`	scalar, shift parameter in transformed Gamma distribution
	`param`	array, if pure risk premium with security loading: relative security loading, if premium with variance or standard deviation: the coefficient, if quantile premium: quantile parameter, if exponential utility function: risk aversion parameter
	`ind`	scalar, if ind=1, pure risk premium if ind=2, safety loaded premium if ind=3, variance loaded premium if ind=4, standard deviation loaded premium if ind=5, quantile premium if ind=6, exponential premium
Output:
	`y`	array, value of the premium for Gamma distribution of loss

Example:

library("insurance") x =(0:10) INSpremgamma(3, 1,2, x, 2)

Result:

Contents of y
[ 1,]        5
[ 2,]       10
[ 3,]       15
[ 4,]       20
[ 5,]       25
[ 6,]       30
[ 7,]       35
[ 8,]       40
[ 9,]       45
[10,]       50
[11,]       55

Author: A. Wylomanska, J. Iwanik 20041215 license MD*Tech