Abstract
In this paper, we show that the delayed Sparre Andersen insurance risk model in discrete time can be analyzed as a doubly infinite Markov chain. We then describe how matrix analytic methods can be used to establish a computational procedure for calculating the probability distributions associated with fundamental ruin-related quantities of interest, such as the time of ruin, the surplus immediately prior to ruin, and the deficit at ruin. Special cases of the model, namely the ordinary and stationary Sparre Andersen models, are considered in several numerical examples.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
