Abstract
The analysis of ruin probabilities constitutes a cornerstone of insurance risk theory. This dissertation develops limit theorems and approximations that can be used to obtain the probability that an insurer faces eventual ruin in both the case of zero interest rates and when of stochastic return on investments are present. This theory is also relevant in the analysis of the single most important model in queueing theory, namely the single-server queue. Other applications to statistical sequential analysis and time series analysis are also discussed.
Authors
Jose H Blanchet
Publication date
2004
Institution
stanford university
