Library: | insurance |
See also: | INSDeVylder INSltraffic |
Quantlet: | INSsubexpappr | |
Description: | produces the approximation of ruin probability for subexponential (heavy tailed) claims in infinite time for insurance collective risk model. |
Usage: | y = INSsubexpappr(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 (heavy tailed) distribution of claims, either: loggamma, Pareto, Burr, Weibull or lognormal | |
dparameters | list of scalars, parameters of loss distribution | |
Output: | ||
y | scalar, n x 1 vector or m x n matrix (same dimension as u), ruin probability given by subexponential approximation. |
library("insurance") library("distribs") distrib = "Burr" dparameters = list(0.8,1.5,1.7) u = #(0:10)*100 theta = 0.3 y = INSsubexpappr(u, theta, distrib, dparameters) y
Contents of y [ 1,] 3.3333 [ 2,] 0.58166 [ 3,] 0.4535 [ 4,] 0.39208 [ 5,] 0.35363 [ 6,] 0.32642 [ 7,] 0.30576 [ 8,] 0.28932 [ 9,] 0.2758 [10,] 0.2644 [11,] 0.25461