computeRuin {RcmdrPlugin.RiskDemo}

Ruin probability computation with infinite time horizon

Description

This function uses classical ruin theory to compute either ruin probability, safety loading or initial capital, given two of them. The time horizon is infinite. Gamma distribution is used to model claim sizes.

Usage

computeRuin(U0 = NULL, theta = NULL, eps = NULL, alpha, beta)

Arguments

U0

initial capital

theta

safety loading

eps

ruin probability

alpha

shape parameter of gamma distribution

beta

rate parameter of gamma distribution

Value

The value is a list with the following components:

LundbergExp

Lundberg's exponent R

initialCapital

initial capital

safetyLoading

safety loading

ruinProb

ruin probability

Author(s)

Arto Luoma <[e-mail]>

References

Gray and Pitts (2012) Risk Modelling in General Insurance: From Principles to Practice, Cambridge University Press.

See Also

computeRuinFinite, solveLund

Examples

computeRuin(U0=1000,theta=0.01,alpha=1,beta=0.1)
computeRuin(eps=0.005,theta=0.01,alpha=1,beta=0.1)
computeRuin(U0=5399.24,eps=0.005,alpha=1,beta=0.1)