Ruin excursions, the $G/G/\infty$ queue and tax payments in renewal risk models

H. Albrecher; S.C. Borst; O.J. Boxma; J.A.C. Resing

Ruin excursions, the $G/G/\infty$ queue and tax payments in renewal risk models

H. Albrecher, S.C. Borst, O.J. Boxma, J.A.C. Resing

Onderzoeksoutput: Boek/rapport › Rapport › Academic

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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.

Originele taal-2	Engels
Plaats van productie	Eindhoven
Uitgeverij	Eurandom
Aantal pagina's	15
Status	Gepubliceerd - 2010

Publicatie series

Naam	Report Eurandom
Volume	2010039
ISSN van geprinte versie	1389-2355

Naam	Calculemus : symposium on on the integration of symbolic computtaion and mechanized reasoning : proceedings
Volume	14

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Citeer dit

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Ruin excursions, the $G/G/\infty$ queue and tax payments in renewal risk models. / Albrecher, H.; Borst, S.C.; Boxma, O.J.; Resing, J.A.C.

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

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AU - Resing, J.A.C.

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