Ruin Probability in a Compound Poisson Risk Model with a Two-Step Premium Rule

A Compound Poisson Risk Model with a Two-Step Premium Rule

“…The duality between the queueing model and the risk model facilitates the derivation of some characteristics of one model from the other. Song and Lee (2011) obtained the probability that the ruin occurs before the surplus reaches a given large value in this risk model. Section 2 reviews several results related to the ordinary M/G/1 workload process and Section 3 describes a modified M/G/1 workload process that furthers our analysis of the surplus process with a two-step premium rule.…”