Threshold strategies for risk processes and their relation to queueing theory

DOI10.1239/JAP/1318940453zbMATH Open1223.91025OpenAlexW2169019356MaRDI QIDQ3094471FDOQ3094471

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

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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)

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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