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Threshold strategies for risk processes and their relation to queueing theory

Part of: Mathematical economics Special processes

Published online by Cambridge University Press:  14 July 2016

Onno J. Boxma ,
Andreas Löpker  and
David Perry
Onno J. Boxma
Affiliation:
Eindhoven University of Technology, Department of Mathematics and Computer Science, Eindhoven University of Technology, PO Box 513, 5600 MB Eindhoven, The Netherlands. Email address: boxma@win.tue.nl
Andreas Löpker
Affiliation:
Eindhoven University of Technology, Department of Economics and Social Sciences, Helmut Schmidt University, Postfach 700822, 22008 Hamburg, Germany
David Perry
Affiliation:
University of Haifa, Department of Statistics, University of Haifa, Haifa 31905, Israel
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Abstract

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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

QueueM/G/1G/M/1risk processruin theorythreshold strategydividend

MSC classification

Primary: 60K25: Queueing theory 91B30: Risk theory, insurance
Secondary: 60K30: Applications (congestion, allocation, storage, traffic, etc.)
Type
Part 1. Risk Theory
Information
Journal of Applied Probability , Volume 48 , Issue A: New Frontiers in Applied Probability (Journal of Applied Probability Special Volume 48A) , August 2011 , pp. 29 - 38
Copyright
Copyright © Applied Probability Trust 2011 

References

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