Parisian ruin in the dual model with applications to the G/M/1 queue

DOI10.1007/S11134-017-9529-YMaRDI QIDQ1696941zbMATH OpenOpenAlexFDO

Authors Esther Frostig, Adva Keren-Pinhasik

Publication date 15 February 2018

Published in Queueing Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11134-017-9529-y

zbMATH Keywords

busy periodcycle maximumdual risk modelidle periodLévy processrisk modelruin probability

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22)

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Cites work

• An insurance risk model with Parisian implementation delays
• Differentiation of some functionals of risk processes, and optimal reserve allocation
• Dividend problem with Parisian delay for a spectrally negative Lévy risk process
• Exit identities for Lévy processes observed at Poisson arrival times
• Fluctuation theory in continuous time
• Foundations of queueing theory
• Gerber-Shiu risk theory
• How long is the surplus below zero?
• Introductory lectures on fluctuations of Lévy processes with applications.
• On a dual model with a dividend threshold
• On barrier strategy dividends with Parisian implementation delay for classical surplus processes
• On cycle maxima, first passage problems and extreme value theory for queues
• On the distribution of the duration of negative surplus
• On the dual risk model with tax payments
• On the moments of ruin and recovery times
• Optimal dividends in the dual model
• Parisian ruin probability for spectrally negative Lévy processes
• Parisian ruin probability with a lower ultimate bankrupt barrier
• Ruin probabilities
• Strategies for dividend distribution: a review
• The G/M/1 queue revisited
• The idle period of the finite \(G/M/1\) queue with an interpretation in risk theory
• The theory of scale functions for spectrally negative Lévy processes
• Total duration of negative surplus for the dual model
• Upper bounds on the expected time to ruin and on the expected recovery time

Cited in

(3)

• Parisian ruin for the dual risk process in discrete-time
• Duality in ruin problems for ordered risk models
• The Omega-model with two bankruptcy rates

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