adjR (MatLab R2007b)

Needed by STFruin05.m

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Statistical Tools for Finance and Insurance

STFruin05, STFruin05

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Fri, May 04 2012 by Dedy Dwi Prastyo

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function [ R ] = adjR( theta, dparameters,m,m2,m3 )
    % theta: security loading in insurance collective risk model
	% dparameters: list, composed of 2 vectors containing the parameters of the loss distribution, weights (first vector) and exponential parameters (second vector)
	p1=dparameters(:,1); % weights
    p2=dparameters(:,2); % exponential parameters
	R0=min(p2);
    R0=[12*theta*m/(3*m2+sqrt(9*m2^2+24*m*m3*theta)),R0];
    R0=min(R0);
    r=R0;
    err=1;
while (err>0.000000001)
    D1=1+(1+theta)*m*r-mgfs(r,0,dparameters);
    D2=(1+theta)*m-mgfs(r,1,dparameters);
    err=r;
    r=r-D1/D2;
    err=abs(err-r)/r;
    R=r;
end
end