Sparre Andersen processes: theory and applications

Project level: Honours, Masters, PhD

A Sparre Andersen process is a generalisation of the compound Poisson process, an essential process in actuarial science. It increases at a constant rate and drops at arrival times, modelled by a renewal process (a generalisation of the Poisson process). We are particularly interested in the computational methods of the first-passage times, with applications in computing bankruptcy probabilities.