Threshold strategies for risk processes and their relation to queueing theory

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

Research output: Book/ReportReportAcademic

3 Citations (Scopus)
75 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. Keywords: Queues, M/G/1, G/M/1, risk processes, ruin theory, threshold strategy, dividend
Original languageEnglish
Place of PublicationEindhoven
PublisherEurandom
Number of pages9
Publication statusPublished - 2011

Publication series

NameReport Eurandom
Volume2011030
ISSN (Print)1389-2355

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