On simple ruin expressions in dependent Sparre Andersen risk models

Abstract In this note we provide a simple alternative derivation of an explicit formula of Kwan and Yang [14] for the probability of ruin in a risk model with a certain dependence between general claim inter-occurrence times and subsequent claim sizes of conditionally exponential type. The approach puts the type of formula in a general context, illustrating the potential for similar simple ruin probability expressions in more general risk models with dependence

Queues and risk processes with dependencies

We study the generalization of the G/G/1 queue obtained by relaxing the assumption of independence between inter-arrival times and service requirements. The analysis is carried out for the class of multivariate matrix exponential distributions introduced in [12]. In this setting, we obtain the steady state waiting time distribution and we show that the classical relation between the steady state waiting time and the workload distributions re- mains valid when the independence assumption is relaxed. We also prove duality results with the ruin functions in an ordinary and a delayed ruin process. These extend several known dualities between queueing and risk models in the independent case. Finally we show that there exist stochastic order relations between the waiting times under various instances of correlation

Generalized gap acceptance models for unsignalized intersections

This paper contributes to the modeling and analysis of unsignalized intersections. In classical gap acceptance models vehicles on the minor road accept any gap greater than the CRITICAL gap, and reject gaps below this threshold, where the gap is the time between two subsequent vehicles on the major road. The main contribution of this paper is to develop a series of generalizations of existing models, thus increasing the model's practical applicability significantly. First, we incorporate {driver impatience behavior} while allowing for a realistic merging behavior; we do so by distinguishing between the critical gap and the merging time, thus allowing MULTIPLE vehicles to use a sufficiently large gap. Incorporating this feature is particularly challenging in models with driver impatience. Secondly, we allow for multiple classes of gap acceptance behavior, enabling us to distinguish between different driver types and/or different vehicle types. Thirdly, we use the novel M$^X$/SM2/1 queueing model, which has batch arrivals, dependent service times, and a different service-time distribution for vehicles arriving in an empty queue on the minor road (where `service time' refers to the time required to find a sufficiently large gap). This setup facilitates the analysis of the service-time distribution of an arbitrary vehicle on the minor road and of the queue length on the minor road. In particular, we can compute the MEAN service time, thus enabling the evaluation of the capacity for the minor road vehicles

On a Gerber–Shiu type function and its applications in a dual semi-Markovian risk model

In this paper, we consider a dual risk process which can be used to model the surplus of a business that invests money constantly and earns gains randomly in both time and amount. The occurrences of the gains and their amounts are assumed follow a semi-Markovian structure (e.g. Reinhard (1984)). We analyze a quantity resembling the Gerber-Shiu expected discounted penalty function (Gerber and Shiu (1998)) that incorporates random variables defined before and after the time of ruin, such as the minimum surplus level before ruin and the time of the first gain after ruin. General properties of the function are studied, and some exact results are derived upon exponential distributional assumptions on either the inter-arrival times or the gain amounts. Applications in a perpetual insurance and the last inter-arrival time containing the time of ruin are given along with some numerical examples.postprin