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

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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-2Engels
Plaats van productieEindhoven
Aantal pagina's15
StatusGepubliceerd - 2010

Publicatie series

NaamReport Eurandom
ISSN van geprinte versie1389-2355
NaamCalculemus : symposium on on the integration of symbolic computtaion and mechanized reasoning : proceedings

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