Threshold strategies for risk processes and their relation to queueing theory

O.J. Boxma; A.H. Lopker; D. Perry

doi:10.1239/jap/1318940453

Threshold strategies for risk processes and their relation to queueing theory

O.J. Boxma, A.H. Lopker, D. Perry

Research output: Contribution to journal › Article › Academic › peer-review

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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
Journal	Journal of Applied Probability
Volume	48A
Issue number	Spec.Vol.
DOIs	https://doi.org/10.1239/jap/1318940453
Publication status	Published - 2011

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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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DO - 10.1239/jap/1318940453

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SP - 29

EP - 38

JO - Journal of Applied Probability

JF - Journal of Applied Probability

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Threshold strategies for risk processes and their relation to queueing theory

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