Other Statistics and Probability Commons^™

On The Sparre-Andersen Risk Models, Ruixi Zhang

Electronic Thesis and Dissertation Repository

This thesis develops several strategies for calculating ruin-related quantities for a variety of extended risk models. We focus on the Sparre-Andersen risk model, also known as the renewal risk model. The idea of arbitrary distribution for the waiting time between claim payments arose in the 1950’s from the collective risk theory, and received many extensions and modifications in recent years. Our goal is to tackle model assumptions that are either too relaxed for traditional methods to apply, or so complicated that elaborate algebraic tools are needed to obtain explicit solutions.

In Chapter 2, we consider a Lévy risk process and …