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

Analysis of a Threshold Strategy in a Discrete-time Sparre Andersen Model This paper shows the application of a threshold strategy on the surplus level of an insurance risk model results in a ...
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Description: This paper shows the application of a threshold strategy on the surplus level of an insurance risk model results in a process that can be analyzed as a doubly infinite Markov chain with finite blocks. The resulting procedures are then used to calculate the probability distributions for time of ruin, the surplus immediately prior to ruin, and the deficit at ruin. From the Actuarial Research Clearing House, 2008, Vol.1.
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- Authors: Ana Maria Mera
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Markov Chain

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