Analysis of a Threshold Strategy in a Discrete-time Sparre Andersen Model
In this thesis, it is shown that the application of a threshold on the surplus level of a particular discrete-time delayed Sparre Andersen insurance risk model results in a process that can be analyzed as a doubly infinite Markov chain with finite blocks. Two fundamental cases, encompassing all po...
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| Language: | en |
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2007
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| Online Access: | http://hdl.handle.net/10012/3323 |