Threshold strategies for risk processes and their relation to queueing theory

Onno J. Boxma, Andreas Löpker, David Perry

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Pages (from-to)29-38
Number of pages10
JournalJournal of Applied Probability
Volume48A
DOIs
StatePublished - 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

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