Asymptotic analysis of a risk process with high dividend barrier
In this paper we study a risk model with constant high dividend barrier. We apply Keilson's (1966) results to the asymptotic distribution of the time until occurrence of a rare event in a regenerative process, and then results of the cycle maxima for random walk to obtain the asymptotic distribution of the time to ruin and the amount of dividends paid until ruin.
Year of publication: |
2010
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Authors: | Frostig, Esther |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 47.2010, 1, p. 21-26
|
Publisher: |
Elsevier |
Keywords: | Busy cycle Idle period Cycle maxima Subexponential distribution GI/G/1 queue Regenerative process |
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