Analysis of a Threshold Strategy in a Discrete-time Sparre Andersen Model

dc.contributor.authorMera, Ana Maria
dc.date.accessioned2007-09-26T19:17:14Z
dc.date.available2007-09-26T19:17:14Z
dc.date.issued2007-09-26T19:17:14Z
dc.date.submitted2007
dc.description.abstractIn this thesis, it is shown that the application of a threshold on the surplus level of a particular discrete-time delayed Sparre Andersen insurance risk model results in a process that can be analyzed as a doubly infinite Markov chain with finite blocks. Two fundamental cases, encompassing all possible values of the surplus level at the time of the first claim, are explored in detail. Matrix analytic methods are employed to establish a computational algorithm for each case. The resulting procedures are then used to calculate the probability distributions associated with fundamental ruin-related quantities of interest, such as the time of ruin, the surplus immediately prior to ruin, and the deficit at ruin. The ordinary Sparre Andersen model, an important special case of the general model, with varying threshold levels is considered in a numerical illustration.en
dc.identifier.urihttp://hdl.handle.net/10012/3323
dc.language.isoenen
dc.pendingfalseen
dc.publisherUniversity of Waterlooen
dc.subject.programActuarial Scienceen
dc.titleAnalysis of a Threshold Strategy in a Discrete-time Sparre Andersen Modelen
dc.typeMaster Thesisen
uws-etd.degreeMaster of Mathematicsen
uws-etd.degree.departmentStatistics and Actuarial Scienceen
uws.peerReviewStatusUnrevieweden
uws.scholarLevelGraduateen
uws.typeOfResourceTexten

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
ThesisFinal.pdf
Size:
252.97 KB
Format:
Adobe Portable Document Format

License bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
248 B
Format:
Item-specific license agreed upon to submission
Description: