Some Comments on the Sparre Andersen Model in the Risk Theory

Olof Thorin

ASTIN Bulletin, 1974, vol. 8, issue 1, 104-125

Abstract: The Sparre Andersen model assumes that the interclaim times and the amounts of claims are independent random variables, the former identically distributed according to a distribution function K(t), t ≥ o, K(o) = o, the latter identically distributed according to a distribution function P(y) — ∞

Date: 1974
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