| Abstract [eng] |
This master’s thesis reviews the discrete time E. Sparre Andersen risk model. The insurer’s surplus process, the ruin time, finite time and infinite time ruin probabilities are defined. A recursive formula for calculating ruin time probabilities is derived, and the net profit condition is discussed. In the practical part of the thesis, cases in which claim sizes and interarrival times between claims are described by Poisson distributions are analyzed. Using the Python programming language, numerical calculations of ruin time and ruin probabilities are performed for different values of the model parameters. |
