Abstract
We consider a risk model with threshold strategy, where the insurance company pays off a certain percentage of the income as dividend whenever the current surplus is larger than a given threshold. We investigate the ruin time, ruin probability, and the total dividend, using methods and results from queueing theory.
Original language | English |
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Pages (from-to) | 29-38 |
Number of pages | 10 |
Journal | Journal of Applied Probability |
Volume | 48A |
DOIs | |
State | Published - Aug 2011 |
Keywords
- Dividend
- G/M/1
- M/G/1
- Queue
- Risk process
- Ruin theory
- Threshold strategy
ASJC Scopus subject areas
- Statistics and Probability
- Mathematics (all)
- Statistics, Probability and Uncertainty