Page 256 - riesgo2012

246 8. Teor´ ıa de la ruina: tiempo continuo

q[1]<-0.03
q[2]<-0.04
q[3]<-0.05
#...............................
#Funci\’onh(i,k)
#...............................
h<- function(i,k) {
aux <- 0
for (j in 1:J) {
aux <- aux+n[i,j]*(q[j]/(1-q[j]))^k
}
aux <- i*((-1)^(k-1))*aux
return(aux)
}
#...............................
#C\’alculodela densidaddeS
#...............................
gc <- array(1:R, dim=c(R))
gc0 <- g(0)
#
g<- function(r) {
if (r==0) {
aux <- 1
for (i in 1:I) {
for (j in 1:J) {
aux <- aux*((1-q[j])^n[i,j])
}
}
return(aux)
}
else
{
aux <- 0
for (i in 1:min(r,I)) {
for (k in 1:floor(r/i)) {
if (r-i*k==0) { aux <- aux + gc0*h(i,k) }
else {aux <- aux + gc[r-i*k]*h(i,k)}
}
}
aux <- aux/r
gc[r] <- aux