Asymptotic analysis of a risk process with high dividend barrier

DOI10.1016/J.INSMATHECO.2010.03.005zbMath1231.91184OpenAlexW2086883808MaRDI QIDQ661205

Esther Frostig

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.03.005

zbMATH Keywords

GI/G/1 queueregenerative processsubexponential distributionbusy cycleidle periodcycle maxima

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest ⋮ On the Gerber-Shiu discounted penalty function in a risk model with two types of delayed-claims and random income

Cites Work

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• Some Optimal Dividends Problems
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• Strategies for Dividend Distribution: A Review
• Asymptotic Theory for a Risk Process with a High Dividend Barrier
• A Limit Theorem for Passage Times in Ergodic Regenerative Processes
• Extreme Values in the GI/G/1 Queue
• Optimal Dividends
• On the Time Value of Ruin

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