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...

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...