equiv_premium {lifepack} | R Documentation |
Equivalence Premium
Description
This function calculates the equivalence premium for an insurance contract.
Usage
equiv_premium(s, t, Lambda, R, dR, mu, r, n)
Arguments
s |
Initial timepoint |
t |
End timepoint |
Lambda |
Intensity matrix |
R |
Reward matrix |
dR |
Differential of reward matrix |
mu |
Equivalence premium guess |
r |
Constant rate as a scalar |
n |
Number of steps for the Runge-Kutta algorithm |
Value
A scalar
Examples
Lambda <- function(x) matrix(c(-0.1, 0.1, 0.05, -0.05), nrow = 2)
R <- function(x, mu) matrix(c(mu, 0, 0, mu), nrow = 2) # Corrected
dR <- function(x, mu) matrix(c(0.1, 0, 0, 0.1), nrow = 2)
equiv_premium(0, 80, Lambda, R, dR, 0.05, 0.03, 100)
[Package lifepack version 0.1.0 Index]