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 language | English |
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Pages (from-to) | 21-26 |
Number of pages | 6 |
Journal | Insurance: Mathematics and Economics |
Volume | 47 |
Issue number | 1 |
DOIs | |
State | Published - 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