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How do you simulate a ruin process?

Posted 10 years ago

Is there a built-in function that simulates a ruin process given by u(t) = u-ct+S(t) ? In the problem I am trying to solve, u=1, c=1 and S(t) is a Compound Poisson Gamma function with poisson parameter =1t and Gamma parameters [100,1/50]. I need to find the probability that u(t) will be smaller or equal to zero over a period of 600 seconds. If anyone could help it would be very much appreciated. Thank you!

POSTED BY: eliflo92

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POSTED BY: Simon Cadrin
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