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

4 Citations (Scopus)

1 Downloads (Pure)

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
DOIs	https://doi.org/10.1239/jap/1318940453
Publication status	Published - 2011

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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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AU - Lopker, A.H.

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DO - 10.1239/jap/1318940453

M3 - Article

SN - 0021-9002

VL - 48A

SP - 29

EP - 38

JO - Journal of Applied Probability

JF - Journal of Applied Probability

ER -

Threshold strategies for risk processes and their relation to queueing theory

Abstract

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