Ruin excursions, the G/G/ queue, and tax payments in renewal risk models

DOI10.1239/JAP/1318940451MaRDI QIDQ3094469zbMATH OpenOpenAlexFDO

Authors Jacques Resing, Hansjörg Albrecher, Sem Borst, Onno Boxma

Publication date 25 October 2011

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1318940451

zbMATH Keywords

ruin probabilityclassical risk modelrenewal modeltax\(G/G/\infty \) queue

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cited in

(7)

• The tax identity in risk theory - a simple proof and an extension
• Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes
• The tax identity for Markov additive risk processes
• Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time
• Lévy insurance risk process with Poissonian taxation
• Analysis of IBNR claims in renewal insurance models
• Ruin probability in the presence of interest earnings and tax payments

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