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Title: Computational analysis of the GI/G/1 risk process using roots
Authors: Panda G.
Banik A.D.
Chaudhry M.L.
Keywords: Deficit at the time of ruin
GI/G/1 queue
Pad� approximation
Risk processes
Ruin probability
Time to ruin
Issue Date: 2018
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. � 2018, Springer Nature Singapore Pte Ltd.
Appears in Collections:Research Publications

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