Ruin excursions, the G/G/Infinity queue and tax payments in renewal risk models

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Serval ID
serval:BIB_C7E4C7DAFA6E
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Ruin excursions, the G/G/Infinity queue and tax payments in renewal risk models
Journal
Journal of Applied Probability
Author(s)
Albrecher H., Borst S., Boxma O., Resing J.
ISSN
0021-9002
Publication state
Published
Issued date
2011
Peer-reviewed
Oui
Volume
48A
Pages
3-14
Language
english
Abstract
In this paper we investigate the number and maximum severity of the ruin excursion of the insurance portfolio reserve process in the Cramer-Lundberg model with and without tax payments. We also provide a relation of the Cramer-Lundberg risk model with the G/G/infinity queue and use it to derive some explicit ruin probability formulae. 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 Cramer-Lundberg risk model.
Keywords
Classical risk model, Ruin probability, G/G/infinity queue, Tax, Renewal model
Web of science
Open Access
Yes
Create date
15/10/2010 10:11
Last modification date
20/08/2019 15:43
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