This thesis considers one of the classical problems in the actuarial mathematics literature, the decay of the probability of ruin in the collective risk model. The
claim number process N(t) is assumed to be a renewal process, the resulting model
being referred as the Sparre Andersen risk model. The inter-claim...
An insurance company, having an initial capital u, receives premiums continuously and pays claims of random sizes at random times. A classical result states that if the rate of premium, c, exceeds the average of the claims paid per unit time, ⋋μ, then the ruin probability decays exponentially fast as...