CramerLundberg-class {ruin} | R Documentation |
A formal S4 class CramerLundberg
Description
A formal S4 class representation of classical Cramer-Lundberg model.
Details
The model is defined as follows:
where is the initial capital (
initial_capital
), is the
premium rate (
premium_rate
), is the Poisson process with
intensity
(
claim_poisson_arrival_rate
), are
iid claim sizes (
claim_size_generator
and claim_size_parameters
).
Objects of class can be created only by using the constructor
CramerLundberg
.
Slots
initial_capital
a length one numeric non-negative vector specifying an initial capital.
premium_rate
a length one numeric non-negative vector specifying a premium rate.
claim_poisson_arrival_rate
a length one numeric positive vector specifying the rate of the Poisson process of claims' arrivals.
claim_size_generator
a function indicating the random generator of claims' sizes.
claim_size_parameters
a named list containing parameters for the random generator of claims' sizes.
References
Albrecher H., Asmussen A. Ruin Probabilities. World Scientific, 2010.