Upper bounds on the expected time to ruin and on the expected recovery time
From MaRDI portal
Publication:4819487
DOI10.1239/aap/1086957577zbMath1123.91335OpenAlexW1998420237MaRDI QIDQ4819487
Publication date: 24 September 2004
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1086957577
phase-type distributionrisk processbusy periodduration of negative surplustime to ruinidle periodM/G/1 queueing systemG/M/1 queueing systemLorden's inequalityPH/PH/1 queueing system
Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22)
Related Items
Queues and Risk Models with Simultaneous Arrivals, Moments of the ruin time in a Lévy risk model, Parisian ruin in the dual model with applications to the \(G/M/1\) queue, Duality in ruin problems for ordered risk models, On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps, The time to ruin and the number of claims until ruin for phase-type claims, Lundberg-type bounds and asymptotics for the moments of the time to ruin, A Functional Approach for Ruin Probabilities, On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier, The time of ultimate recovery in Gaussian risk model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Phase-type representations in random walk and queueing problems
- Inequalities for the overshoot
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
- How long is the surplus below zero?
- Some results about the expected ruin time in Markov-modulated risk models
- On the distribution of the duration of negative surplus
- On the Distribution of the Deficit at Ruin when Claims are Phase-type
- On Excess Over the Boundary
- Foundations of queueing theory
- On the moments of ruin and recovery times
