STFruin10 (MatLab R2007b)
STFruin10 produces the ruin probability in infinite time for mixture of 2 exponentials distribution claims given by De Vylder approximation. Need "moments.m" function.
STFruin02, STFruin03, STFruin04, STFruin05, STFruin06, STFruin07, STFruin08, STFruin09, STFruin10, moments
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Fri, May 04 2012 by Dedy Dwi Prastyo
moments.m
- Ruin probability in infinite time for mixture of 2 exponentials distribution claims given by De Vylder approximation.
clear 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 delta=3*m2/m3 beta=9*m2^3/(2*(1+theta)*m*m3^2) p=3*m2^2/(2*(1+theta)*m*m3)-1/(1+theta)+1 psi=(beta/(p*delta))*exp(-(delta-beta/p)*u)