Asymptotic analysis of a risk process with high dividend barrier

Esther Frostig

Insurance: Mathematics and Economics, 2010, vol. 47, issue 1, 21-26

Abstract: In this paper we study a risk model with constant high dividend barrier. We apply Keilson's (1966) results to the asymptotic distribution of the time until occurrence of a rare event in a regenerative process, and then results of the cycle maxima for random walk to obtain the asymptotic distribution of the time to ruin and the amount of dividends paid until ruin.

Keywords: Busy; cycle; Idle; period; Cycle; maxima; Subexponential; distribution; GI/G/1; queue; Regenerative; process (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:47:y:2010:i:1:p:21-26

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