Threshold strategies for risk processes and their relation to queueing theory

DOI10.1239/JAP/1318940453MaRDI QIDQ3094471zbMATH OpenOpenAlexFDO

Authors Andreas Löpker, Onno Boxma, David Perry

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/1318940453

zbMATH Keywords

queuerisk processthreshold strategydividendruin theoryM/G/1G/M/1

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cited in

(9)

• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• Queues and Risk Processes with Dependencies
• Risk processes analyzed as fluid queues
• Analysis of the ruin time of threshold dividend strategy risk model under stochastic environment
• A state dependent reinsurance model
• Threshold dividend strategies for a Markov-additive risk model
• Classical risk model with threshold dividend strategy
• Analysis on the ruin time of risk models with phase-type claims under a threshold dividend strategy
• Optimal continuous production-inventory systems subject to stockout risk

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