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 distribution of the time to ruin and the amount of dividends paid until ruin.

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Year of publication:	2010
Authors:	Frostig, Esther
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 47.2010, 1, p. 21-26
Publisher:	Elsevier
Keywords:	Busy cycle Idle period Cycle maxima Subexponential distribution GI/G/1 queue Regenerative process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008494911