XploRe Help : INSsubexpappr

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:	INSDeVylder INSltraffic

Quantlet:		INSsubexpappr
Description:		produces the approximation of ruin probability for subexponential (heavy tailed) claims 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 = 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.

Note:

In this example the loss distribution is Burr, safety loading 0.3 and initial capital a vector of 11 values from 0 to 1000. The heavy tailed approximation works if the mean of loss distribution exists.

Example:

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

Result:

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

Author: P. Mista, 20031218 license MD*Tech