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Filtering by: Advisor Thomann, Enrique Creator Constantinescu, Corina D. Degree Name Doctor of Philosophy (Ph.D.)

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:

Probabilities Abstract approved: Enrique A. Thomann This thesis considers one of the classical problems in