simulate_path {ruin}

Generic for simulating a path of a given risk model

Description

simulate_path() simulates a path of a given risk model until one of the following conditions is met: (1) the process is ruined, (2) max_time_horizon is achieved, (3) the elapsed time of the simulation is greater than max_simulation_time.

Usage

simulate_path(model, max_time_horizon = NULL, max_simulation_time = NULL,
  seed = NULL)

Arguments

model

an S4 object indicating a risk model (e.g., CramerLundberg).

max_time_horizon

a length one numeric vector specifying the maximum time horizon, until with the process will be simulated. Default: Inf.

max_simulation_time

a length one numeric vector indicating the maximum allowed time of simulation. The value should be specified in seconds. Default: Inf.

seed

an optional arbitrary length numeric vector specifying the seed. If provided, the .Random.seed in .GlobalEnv is set to its value.

Value

An S4 corresponding to model class object. For instance, for CramerLundberg, the object of class PathCramerLundberg is returned.

Warning

Setting both max_time_horizon and max_simulation_time to Inf might be dangerous. In this case, the only stopping condition is a ruin of the process, which might not happen.

Examples

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

path <- simulate_path(model = model, max_time_horizon = 10)