STFruin04 (MatLab R2007b)
STFruin04 produces the exact ruin probability in infinite time for mixture of 2 exponentials claims. Need "ruinmix2exps.m" function
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Fri, May 04 2012 by Dedy Dwi Prastyo
ruinmix2exps.m
- None
- Exact ruin probability in infinite time for mixture of 2 exponentials claims.
Description: -
clear all; close all, clc; format long; u1=[0;10^9;5*10^9;10^10;2*10^10;5*10^10]; % initial capital of insurance company (in USD) theta1=0.3; % relative safety loading dparameters1=[3.5900e-10 , 0.0584 ; 7.5088e-09 , 0.9416]; % exponential parameters (first column) and weights (second column) psi=ruinmix2exps(u1,theta1,dparameters1)