SparreAndersen-class {ruin} | R Documentation |
A formal S4 class SparreAndersen
Description
A formal S4 class representation of classical Sparre Andersen 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 renewal process defined
by distribution of interarrival times (claim_interarrival_generator
and claim_interarrival_parameters
), Y_i
are iid claim sizes
(claim_size_generator
and claim_size_parameters
).
Objects of class can be created only by using the constructor
SparreAndersen
.
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_interarrival_generator
a function indicating the random generator of claims' interarrival times.
claim_interarrival_parameters
a named list containing parameters for the random generator of claims' interarrival times.
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
Andersen, E. Sparre. On the collective theory of risk in case of contagion between claims. Transactions of the XVth International Congress of Actuaries, 2(6), 1957.
Thorin O. Some Comments on the Sparre Andersen Model in the Risk Theory. ASTIN Bulletin: The Journal of the IAA, 8(1):104-125, 1974.