Performance analysis of priority queueing systems in discrete time

The integration of different types of traffic in packet-based networks spawns the need for traffic differentiation. In this tutorial paper, we present some analytical techniques to tackle discrete-time queueing systems with priority scheduling. We investigate both preemptive (resume and repeat) and non-preemptive priority scheduling disciplines. Two classes of traffic are considered, high-priority and low-priority traffic, which both generate variable-length packets. A probability generating functions approach leads to performance measures such as moments of system contents and packet delays of both classes

Optimal Dividends Under a Ruin Probability Constraint

C1 - Refereed Journal ArticleABSTRACT We consider a classical surplus process modified by the payment of dividends when the insurer's surplus exceeds a threshold. We use a probabilistic argument to obtain general expressions for the expected present value of dividend payments, and show how these expressions can be applied for certain individual claim amount distributions. We then consider the question of maximising the expected present value of dividend payments subject to a constraint on the insurer's ruin probability

Dividend moments in the dual risk model: Exact and approximate approaches

In the classical compound Poisson risk model, it is assumed that a company (typically an insurance company) receives premium at a constant rate and pays incurred claims until ruin occurs. In contrast, for certain companies (typically those focusing on invention), it might be more appropriate to assume expenses are paid at a fixed rate and occasional random income is earned. In such cases, the surplus process of the company can be modelled as a dual of the classical compound Poisson model, as described in Avanzi et al. (2007). Assuming further that a barrier strategy is applied to such a model (i.e., any overshoot beyond a fixed level caused by an upward jump is paid out as a dividend until ruin occurs), we are able to derive integro-differential equations for the moments of the total discounted dividends as well as the Laplace transform of the time of ruin. These integro-differential equations can be solved explicitly assuming the jump size distribution has a rational Laplace transform. We also propose a discrete-time analogue of the continuous-time dual model and show that the corresponding quantities can be solved for explicitly leaving the discrete jump size distribution arbitrary. While the discrete-time model can be considered as a stand-alone model, it can also serve as an approximation to the continuous-time model. Finally, we consider a generalization of the so-called Dickson-Waters modification in optimal dividends problems by maximizing the difference between the expected value of discounted dividends and the present value of a fixed penalty applied at the time of ruin. © 2008 by Astin Bulletin. All rights reserved.link_to_subscribed_fulltex

The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models

ISBN 0734028970 Research paper no. 10

Moments of discounted dividends for a threshold strategy in the compound poisson risk model

We consider a compound Poisson risk model in which part of the premium is paid to the shareholders as dividends when the surplus exceeds a specified threshold level. In this model we are interested in computing the moments of the total discounted dividends paid until ruin occurs. However, instead of employing the traditional argument, which involves conditioning on the time and amount of the first claim, we provide an alternative probabilistic approach that makes use of the (defective) joint probability density function of the time of ruin and the deficit at ruin in a classical model without a threshold. We arrive at a general formula that allows us to evaluate the moments of the total discounted dividends recursively in terms of the lower-order moments. Assuming the claim size distribution is exponential or, more generally, a finite shape and scale mixture of Erlangs, we are able to solve for all necessary components in the general recursive formula. In addition to determining the optimal threshold level to maximize the expected value of discounted dividends, we also consider finding the optimal threshold level that minimizes the coefficient of variation of discounted dividends. We present several numerical examples that illustrate the effects of the choice of optimality criterion on quantities such as the ruin probability.link_to_subscribed_fulltex

On the distribution of the deficit at ruin when claims are phase-type

10

The surplus prior to ruin and the deficit at ruin for a correlated risk process

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