Purpose – The purpose of this paper is to investigate how queueing theory has been applied to derive results for a Sparre Andersen risk process for which the claim inter-arrival distribution is hyper Erlang. Design/methodology/approach – The paper exploits the duality results between the...

Purpose – This paper considers a Sparre Andersen risk process for which the claims inter-arrival distribution is Generalized Exponential. The purpose of this paper is to find explicit expressions for the moments of time to ruin when a penalty is imposed at ruin. Design/methodology/approach –...

Purpose – The purpose of this paper is to investigate how queueing theory has been applied to derive results for a Sparre Andersen risk process for which the claim inter-arrival distribution is hyper Erlang. Design/methodology/approach – The paper exploits the duality results between the...

Purpose – The aim of this paper is to propose and analyse policies capable of generating left-skewed pension distributions. Such policies can deliver large pension values with high probability and hence are of interest to practical fund managers. Design/methodology/approach – The paper uses...