Threshold strategies for risk processes and their relation to queueing theory

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

Onderzoeksoutput: Boek/rapportRapportAcademic

3 Citaten (Scopus)
66 Downloads (Pure)

Samenvatting

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
Originele taal-2Engels
Plaats van productieEindhoven
UitgeverijEurandom
Aantal pagina's9
StatusGepubliceerd - 2011

Publicatie series

NaamReport Eurandom
Volume2011030
ISSN van geprinte versie1389-2355

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