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:
X(t) = u + ct - \sum_{i=1}^{N(t)} Y_i,
where u
is the initial capital (initial_capital
), c
is the
premium rate (premium_rate
), N(t)
is the Poisson process with
intensity \lambda
(claim_poisson_arrival_rate
), Y_i
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.