STFruin08 (MatLab R2007b)
STFruin08 produces the ruin probability in infinite time for mixture of 2 exponentials distribution claims given by Beekman-Bowers approximation. Need "moments.m" function.
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Fri, May 04 2012 by Dedy Dwi Prastyo
moments.mclear all; close all, clc; format long; u=[0;10^9;5*10^9;10^10;2*10^10;5*10^10]; % initial capital of insurance company (in USD) theta=0.3; % relative safety loading dparameters1=[0.0584 , 3.5900e-10 ; 0.9416 , 7.5088e-09]; % weights (first column) and exponential parameters (second column) m=moments(1,dparameters1); % 1st raw moment m2=moments(2,dparameters1); % 2nd raw moment m3=moments(3,dparameters1); % 3nd raw moment delta1=(2*m*theta)/(m2+((4*m*m3/3/m2)-m2)*theta) % scale parameter of gamma distribution function delta2=(1+theta)/(1+((4*m*m3/3/m2^2)-1)*theta) % shape parameter of gamma distribution function psi=(1-gamcdf(u,delta2,1/delta1))/(1+theta)