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Filtering by: Creator McDaniel, Mina R. Committee Member Ossiander, Mina Creator Constantinescu, Corina D. Non-Academic Affiliation Oregon State University. Graduate School

Renewal risk processes with stochastic returns on investments : a unified approach and analysis of the ruin probabilities

Creator:

Constantinescu, Corina D.

Abstract:

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...

Resource Type:

Dissertation

Full Text:

patience and confidence in my abilities. Special thanks to professor Mina Ossiander and professor Ed

ScholarsArchive@OSU

Renewal risk processes with stochastic returns on investments : a unified approach and analysis of the ruin probabilities

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