Asymptotic analysis of a risk process with high dividend barrier

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 distributio...

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Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 2010-08, Vol.47 (1), p.21-26
1. Verfasser: Frostig, Esther
Format: Artikel
Sprache:eng
Schlagworte:
1 queue Regenerative process
Asymptotic methods
Busy cycle
Busy cycle Idle period Cycle maxima Subexponential distribution GI
Cycle maxima
Dividends
Finance
Financial assets
Financial models
GI/G/1 queue
Idle period
Interest rates
Random walk theory
Regenerative process
Risk assessment
Risk management
Studies
Subexponential distribution
Value theory
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Beschreibung
Zusammenfassung: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.
ISSN:0167-6687
1873-5959
DOI:10.1016/j.insmatheco.2010.03.005