CramerLundberg {ruin}

Constructs an object of CramerLundberg S4 class

Description

CramerLundberg() constructs an object of CramerLundberg S4 class.

Usage

CramerLundberg(initial_capital = NULL, premium_rate = NULL,
  claim_poisson_arrival_rate = NULL, claim_size_generator = NULL,
  claim_size_parameters = NULL)

Arguments

initial_capital

a length one numeric non-negative vector specifying an initial capital. Default: 0.

premium_rate

a length one numeric non-negative vector specifying a premium rate. Default: 1.

claim_poisson_arrival_rate

a length one numeric positive vector specifying the rate of the Poisson process of claims' arrivals. Default: 1.

claim_size_generator

a function indicating the random generator of claims' sizes. Default: rexp.

claim_size_parameters

a named list containing parameters for the random generator of claims' sizes. Default: list(rate = 1).

Details

The function constructs an object of a formal S4 class CramerLundberg, a representation of classical risk process 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 ).

Value

An object of CramerLundberg class.

References

Albrecher H., Asmussen A. Ruin Probabilities. World Scientific, 2010.

See Also

CramerLundbergCapitalInjections, SparreAndersen, link{SparreAndersenCapitalInjections}.

Examples

model <- CramerLundberg(initial_capital = 10,
                        premium_rate = 1,
                        claim_poisson_arrival_rate = 1,
                        claim_size_generator = rexp,
                        claim_size_parameters = list(rate = 1))