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Algorithmic analysis of the Sparre Andersen model in discrete time. (English) Zbl 1154.62076
Summary: 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.

MSC:
62P05 Applications of statistics to actuarial sciences and financial mathematics
60J20 Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
65C60 Computational problems in statistics (MSC2010)
91B30 Risk theory, insurance (MSC2010)
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