STFruin05 (MatLab R2007b)
STFruin05 produces the ruin probability in infinite time for mixture of 2 exponentials distribution claims given by Cramer-Lundberg approximation. Need the following functiuon: moments.m, adjR.m, mgfs.m
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Fri, May 04 2012 by Dedy Dwi Prastyo
moments.m, adjR.m, mgfs.m
- None
- Ruin probability in infinite time for mixture of 2 xponentials distribution claims given by CramerLundberg approximation.
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=[0.0584 , 3.5900e-10 ; 0.9416 , 7.5088e-09]; % weights (second vector) and exponential parameters (first vector) m=moments(1,dparameters1); % 1st raw moment m2=moments(2,dparameters1); % 2nd raw moment m3=moments(3,dparameters1); % 3nd raw moment R=adjR(theta1,dparameters1,m,m2,m3); % adjustment coefficient R for mixture of 2 exponentials distribution claims mgfprim=mgfs(R,1,dparameters1); % moment generating function for mixture of 2 exponentials distribution claims C=(theta1*m)/(mgfprim-m*(1+theta1)); psi=C*exp(-R*u1)