Asymptotic analysis of a risk process with high dividend barrier

Esther Frostig

doi:10.1016/j.insmatheco.2010.03.005

Asymptotic analysis of a risk process with high dividend barrier

Esther Frostig

Department of Statistics

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	21-26
Number of pages	6
Journal	Insurance: Mathematics and Economics
Volume	47
Issue number	1
DOIs	https://doi.org/10.1016/j.insmatheco.2010.03.005
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

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10.1016/j.insmatheco.2010.03.005

Cite this

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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.",

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AB - 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.

KW - Busy cycle

KW - Cycle maxima

KW - GI/G/1 queue

KW - Idle period

KW - Regenerative process

KW - Subexponential distribution

UR - https://www.scopus.com/pages/publications/77953290862

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DO - 10.1016/j.insmatheco.2010.03.005

M3 - Article

AN - SCOPUS:77953290862

SN - 0167-6687

VL - 47

SP - 21

EP - 26

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 1

ER -

Asymptotic analysis of a risk process with high dividend barrier

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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