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Please use this identifier to cite or link to this item: http://idr.iitbbs.ac.in/jspui/handle/2008/592
Title: Inverting the transforms arising in the GI/M/1 risk process using roots
Authors: Panda G.
Banik A.D.
Chaudhry M.L.
Keywords: Expected time to ruin
M/G/1 and GI/M/1 queue
Pad�-Laplace method
Recovery time
Risk process
Roots
Ruin probability
Issue Date: 2014
Citation: 2
Abstract: We consider an insurance risk model for which the claim arrival process is a renewal process and the sizes of claims occur an exponentially distributed random variable. For this risk process, we give an explicit expression for the distribution of probability of ultimate ruin, the expected time to ruin and the distribution of deficit at the time of ruin, using Pad�-Laplace method. We have derived results about ultimate ruin probability and the time to ruin in the renewal risk model from its dual queueing model. Also, we derive the bounds for the moments of recovery time. Finally, some numerical results have been presented in the form of tables which compare these results with some of the existing results available in the literature. � Springer India 2014.
URI: http://dx.doi.org/1007/978-81-322-1952-1_20
http://10.10.32.48:8080/jspui/handle/2008/592
Appears in Collections:Research Publications

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