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: times
See also: simHPP simNHPPRP

Quantlet: simHPPRP
Description: generates risk process driven by the homogeneous Poisson process.

Reference(s):

Usage: y = simHPPRP(u,theta,lambda,distrib,params,T,N)
Input:
u scalar, initial capital
theta scalar, relative safety loading
lambda scalar, intensity of the Poisson process
distrib string, claim size distribution
params n x 1 vector, parameters of the claim size distribution, n=1 (exponential), n=2 (gamma, lognormal, Pareto, Weibull), n=3 (Burr, mixofexps)
T scalar, time horizon
N scalar, number of trajectories
Output:
y 2*max+2 x N x 2 array, generated proecss - max is the maximum number of jumps for all generated trajectories

Example:
library("xplore")
library("times")
library("plot")
randomize2(101)
randomize(101)
y1=simHPPRP(10,0.1,3,"Burr",#(3,2,1),5,1)
y1=reduce(y1)
d1 = createdisplay(1,1)
adddata(d1, 1, 1,setmask(y1,"line","medium","red", "style",1))
y2=simHPPRP(10,0.2,3,"Pareto",#(1.5,2.5),5,1)
y2=reduce(y2)
adddata(d1, 1, 1,setmask(y2,"line","medium","blue", "style",1));

Result:
Show two trajectories of risk process driven by the homogeneous Poisson process



Author: A. Misiorek, 20041120 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006