insurance.java

金融资产定价,随机过程,MONTE CARLO 模拟 JAVA 程序和文档资料

/* WARANTY NOTICE AND COPYRIGHT
This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
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Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.

Copyright (C) Michael J. Meyer

[e-mail]
[e-mail]

*/



/*
 * Insurance.java
 *
 * Created on January 25, 2002, 10:00 PM
 */
 
package Examples.Probability;

import Processes.*;
import Statistics.*;
import java.lang.Math.*;

 

/** <p>Console program computing probability of ruin faced by an insurance 
 * company hit with claims coming in as a compound Poisson process. All 
 * parameters fixed in source code. No user interaction. See book, chapter 2, 
 * example 4.</p>
 *
 * @author  Michael J. Meyer
 */
public class Insurance{

    public static void main(String[] args)
    {
        String message=
        "RUIN OF INSURER:\n\n"+
        "An insurance company is hit with claims of size X=N^2, N standard\n"+ 
        "normal( so E(X)=1), with intensity lambda=100 (expected claims per\n"+
        "year).\n"+
        "Initial claims 0, initial capital 30, premiums: 10% surcharge on\n"+
        "expected claims.\n\n"+
        "Probability of ruin in 5 years: ";
        System.out.print(message);
        
        final int T=50;          // horizon
        
        final double dt=0.1,     // time step
                     lambda=100,  // claim intensity
                     x_0=0,       // claims at time t=0
                     c_0=30;      // initial capital
        
        // event variable (claim size) X=N^2, N standard normal
        final RandomVariable X=new RandomVariable(){
        
            public double getValue(int t)
            {
                 double z=Random.STN();
                 return z*z;             }
                  
        }; // end X;
        
        // premium rate (we know that E(X)=1 but what if X
        // were some other random variable)
        final double mu=1.1*lambda*X.expectation(20000);
        
        // aggregate claims
        final CompoundPoissonProcess 
        CP=new CompoundPoissonProcess(T,dt,x_0,lambda,X);
        
        // the time of ruin
        final StoppingTime tau=new StoppingTime(){
        
            public boolean stop(int t)
            {
                 double[] claims=CP.get_path();
                 return ((claims[t]>c_0+t*dt*mu)||(t==T));   }
                 
        }; // end tau
        
        // the inidicator function 1_{[tau<T]}
        RandomVariable Ruin=new RandomVariable(){

            public double getValue(int t)
            {
                // path computation and value of stopping time
                int s=CP.pathSegment(t,tau);
                if(s<T) return 1;
                return 0;             } // end getValue
                
        }; // end Ruin
        
        // probability of ruin
        double q=Ruin.expectation(20000);
        //cut this down to 5 decimals
        q=1.0*Math.round(10000*q)/10000;
        
        System.out.print(q);
        
    } // end main
    
} // end Insurance