mgfs (MatLab R2007b)

Neededn by STFruin05.m

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Statistical Tools for Finance and Insurance

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Fri, May 04 2012 by Dedy Dwi Prastyo

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function [ y ] = mgfs( x,k,dparameters )
	% x: scalar, n x 1 vector or m x n matrix,  argument of the moment generating function
	% k: scalar, integer, 0 =< k <= 3, order of the derivative
	% dparameters: vector, composed of 2 columns containing the parameters of the loss distribution, weights (first column) and exponential parameters (second column)
    p1=dparameters(:,1); % weights
    p2=dparameters(:,2); % exponential parameters
   if (k==0)
    y=sum((p1.*p2)./(p2-x'));
   elseif(k==1)
    y=sum((p1.*p2)./((p2-x').^2));
   elseif(k==2)
	y=2*sum((p1.*p2)./((p2-x').^3));
   elseif(k==3)
	y=6*sum((p1.*p2)./((p2-x').^4));
end