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 |
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| container_title | Insurance, mathematics & economics |
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| creator | Frostig, Esther |
| description | 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. |
| doi_str_mv | 10.1016/j.insmatheco.2010.03.005 |
| format | Article |
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| ispartof | Insurance, mathematics & economics, 2010-08, Vol.47 (1), p.21-26 |
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| language | eng |
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| source | RePEc; Elsevier ScienceDirect Journals |
| subjects | 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 |
| title | Asymptotic analysis of a risk process with high dividend barrier |
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