Threshold strategies for risk processes and their relation to queueing theory

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...

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Bibliographic Details
Published in:Journal of applied probability 2011-01, Vol.48 (A), p.29-38
Main Authors: Boxma, Onno J., Löpker, Andreas, Perry, David
Format: Article
Language:English
Subjects:
60K25
60K30
91B30
dividend
G/M/1
M/G/1
PART 1: RISK THEORY
Queue
risk process
ruin theory
threshold strategy
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Summary: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.
ISSN:0021-9002
1475-6072
DOI:10.1239/jap/1318940453