| Library: | times |
| See also: | simHPPRP simNHPPRP simRP |
| Quantlet: | simRPRP | |
| Description: | generates risk process driven by the renewal process. |
| Usage: | y = simRPRP(u,theta,wtimedistrib,wtimeparams,distrib,params,T,N) | |
| Input: | ||
| u | scalar, initial capital | |
| theta | scalar, relative safety loading | |
| wtimedistrib | string, waiting time distribution | |
| wtimeparams | n x 1 vector, parameters of the waiting time distribution, n=1 (exponential), n=2 (gamma, lognormal, Pareto, Weibull), n=3 (Burr, mixofexps) | |
| 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 | |
library("xplore")
library("times")
library("plot")
randomize(101)
y1=simRPRP(10,0.2,"exponential",1,"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=simRPRP(10,0.2,"Burr",#(3,2,1),"exponential",1,5,1)
y2=reduce(y2)
adddata(d1, 1, 1,setmask(y2,"line","medium","blue", "style",1))
Show two trajectories of risk process driven by the renewal process.