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In this paper we investigate the number and maximum severity of the ruin excursion of the insurance portfolio reserve process in the Cramér-Lundberg model with and without tax payments. We also provide a relation of the Cramér-Lundberg risk model with the G/G/$\infty$ queue and use it to derive some explicit ruin probability formulas. Finally, the renewal risk model with tax is considered, and an asymptotic identity is derived that in some sense extends the tax identity of the Cramér-Lundberg risk model.
title = "Ruin excursions, the $G/G/\infty$ queue and tax payments in renewal risk models",
abstract = "In this paper we investigate the number and maximum severity of the ruin excursion of the insurance portfolio reserve process in the Cram{\'e}r-Lundberg model with and without tax payments. We also provide a relation of the Cram{\'e}r-Lundberg risk model with the G/G/$\infty$ queue and use it to derive some explicit ruin probability formulas. Finally, the renewal risk model with tax is considered, and an asymptotic identity is derived that in some sense extends the tax identity of the Cram{\'e}r-Lundberg risk model.",
author = "H. Albrecher and S.C. Borst and O.J. Boxma and J.A.C. Resing",
Eindhoven : Eurandom, 2010. 15 blz. (Report Eurandom; Vol. 2010039), (Calculemus : symposium on on the integration of symbolic computtaion and mechanized reasoning : proceedings; Vol. 14).
Onderzoeksoutput: Boek/rapport › Rapport › Academic
TY - BOOK
T1 - Ruin excursions, the $G/G/\infty$ queue and tax payments in renewal risk models
AU - Albrecher, H.
AU - Borst, S.C.
AU - Boxma, O.J.
AU - Resing, J.A.C.
PY - 2010
Y1 - 2010
N2 - In this paper we investigate the number and maximum severity of the ruin excursion of the insurance portfolio reserve process in the Cramér-Lundberg model with and without tax payments. We also provide a relation of the Cramér-Lundberg risk model with the G/G/$\infty$ queue and use it to derive some explicit ruin probability formulas. Finally, the renewal risk model with tax is considered, and an asymptotic identity is derived that in some sense extends the tax identity of the Cramér-Lundberg risk model.
AB - In this paper we investigate the number and maximum severity of the ruin excursion of the insurance portfolio reserve process in the Cramér-Lundberg model with and without tax payments. We also provide a relation of the Cramér-Lundberg risk model with the G/G/$\infty$ queue and use it to derive some explicit ruin probability formulas. Finally, the renewal risk model with tax is considered, and an asymptotic identity is derived that in some sense extends the tax identity of the Cramér-Lundberg risk model.
M3 - Report
T3 - Report Eurandom
BT - Ruin excursions, the $G/G/\infty$ queue and tax payments in renewal risk models