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

DOI10.1239/JAP/1318940451zbMATH Open1223.91024OpenAlexW2097468569MaRDI QIDQ3094469FDOQ3094469

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

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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)

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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