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Computational Analysis of the GI/G/1 Risk Process Using Roots

  • 2018
  • OriginalPaper
  • Chapter
Published in:
Authors
Gopinath Panda
A. D. Banik
M. L. Chaudhry
Published in
Operations Research and Optimization
Publisher
Springer Singapore

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Abstract

In this paper, we analyze an insurance risk model wherein the arrival of claims and their sizes occur as renewal processes. Using the duality relation in queueing theory and roots method, we derive closed-form expressions for the ultimate ruin probability, the distribution of the deficit at the time of ruin, and the expected time to ruin in terms of the roots of the characteristic equation. Finally, some numerical computations are portrayed with the help of tables.

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previous chapter Computational Analysis of a Single Server Queue with Batch Markovian Arrival and Exponential Single Working Vacation
next chapter Score-Based Secretary Problem
Title
Computational Analysis of the GI/G/1 Risk Process Using Roots
Authors
Gopinath Panda
A. D. Banik
M. L. Chaudhry
Copyright Year
2018
Publisher
Springer Singapore
Book
Operations Research and Optimization

Print ISBN: 978-981-10-7813-2

Electronic ISBN: 978-981-10-7814-9

Copyright Year: 2018

DOI
https://doi.org/10.1007/978-981-10-7814-9_6
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