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Asymptotic analysis of a risk process with high dividend barrier

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  • Frostig, Esther
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    Abstract

    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.

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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4YNC1MN-1/2/6923ed4d3691b3d85d3fef1861a303c6
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 47 (2010)
    Issue (Month): 1 (August)
    Pages: 21-26

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    Handle: RePEc:eee:insuma:v:47:y:2010:i:1:p:21-26

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    Web page: http://www.elsevier.com/locate/inca/505554

    Related research

    Keywords: Busy cycle Idle period Cycle maxima Subexponential distribution GI/G/1 queue Regenerative process;

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    1. Sheldon Lin, X. & E. Willmot, Gordon & Drekic, Steve, 2003. "The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 551-566, December.
    2. Albrecher, Hansjorg & Claramunt, M.Merce & Marmol, Maite, 2005. "On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 324-334, October.
    3. Frostig, Esther, 2005. "The expected time to ruin in a risk process with constant barrier via martingales," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 216-228, October.
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