Asymptotic analysis of a risk process with high dividend barrier

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper we study a risk model with constant high dividend barrier. We apply Keilson's (1966) results to the asymptotic distribution of the time until occurrence of a rare event in a regenerative process, and then results of the cycle maxima for random walk to obtain the asymptotic distribution of the time to ruin and the amount of dividends paid until ruin.

Original languageEnglish
Pages (from-to)21-26
Number of pages6
JournalInsurance: Mathematics and Economics
Volume47
Issue number1
DOIs
StatePublished - Aug 2010

Bibliographical note

Funding Information:
The research is supported by the Israel Science Foundation grant 606/09 .

Keywords

  • Busy cycle
  • Cycle maxima
  • GI/G/1 queue
  • Idle period
  • Regenerative process
  • Subexponential distribution

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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