On a class of stochastic models with two-sided jumps
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- 作者：Eric C. K. Cheung (1) eckc@hku.hk
- 关键词：Dual risk model – ; Two ; sided jumps – ; GI/G/1 queue – ; Negative customers – ; Gerber– ; Shiu function – ; Defective renewal equation – ; Time of ruin – ; Time of recovery – ; Busy period – ; Idle period
- 刊名：Queueing Systems
- 出版年：2011
- 出版时间：September 2011
- 年：2011
- 卷：69
- 期：1
- 页码：1-28
- 全文大小：935.3 KB
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- 刊物类别：Business and Economics
- 刊物主题：Economics
Operation Research and Decision Theory
Computer Communication Networks
Probability Theory and Stochastic Processes
Production and Logistics
Systems Theory and Control - 出版者：Springer Netherlands
- ISSN：1572-9443
文摘
In this paper a stochastic process involving two-sided jumps and a continuous downward drift is studied. In the context of ruin theory, the model can be interpreted as the surplus process of a business enterprise which is subject to constant expense rate over time along with random gains and losses. On the other hand, such a stochastic process can also be viewed as a queueing system with instantaneous work removals (or negative customers). The key quantity of our interest pertaining to the above model is (a variant of) the Gerber–Shiu expected discounted penalty function (Gerber and Shiu in N. Am. Actuar. J. 2(1):48–72, 1998) from ruin theory context. With the distributions of the jump sizes and their inter-arrival times left arbitrary, the general structure of the Gerber–Shiu function is studied via an underlying ladder height structure and the use of defective renewal equations. The components involved in the defective renewal equations are explicitly identified when the upward jumps follow a combination of exponentials. Applications of the Gerber–Shiu function are illustrated in finding (i) the Laplace transforms of the time of ruin, the time of recovery and the duration of first negative surplus in the ruin context; (ii) the joint Laplace transform of the busy period and the subsequent idle period in the queueing context; and (iii) the expected total discounted reward for a continuous payment stream payable during idle periods in a queue.