Threshold strategies for risk processes and their relation to queueing theory

Onno J. Boxma; Andreas Löpker; David Perry

doi:10.1239/jap/1318940453

Threshold strategies for risk processes and their relation to queueing theory

Onno J. Boxma, Andreas Löpker, David Perry

Department of Statistics

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	29-38
Number of pages	10
Journal	Journal of Applied Probability
Volume	48A
DOIs	https://doi.org/10.1239/jap/1318940453
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

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10.1239/jap/1318940453

Cite this

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title = "Threshold strategies for risk processes and their relation to queueing theory",

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.",

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month = aug,

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KW - G/M/1

KW - M/G/1

KW - Queue

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KW - Threshold strategy

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DO - 10.1239/jap/1318940453

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SP - 29

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JO - Journal of Applied Probability

JF - Journal of Applied Probability

ER -

Threshold strategies for risk processes and their relation to queueing theory

Abstract

Keywords

ASJC Scopus subject areas

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