Upper and lower bounds for the solutions of Markov renewal equations

DOI10.1007/S00186-005-0008-6zbMath1101.60066OpenAlexW1989295643MaRDI QIDQ2433241

Gang Li, Luo, Jiaowan

Publication date: 27 October 2006

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-005-0008-6

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Markov and semi-Markov decision processes (90C40) Renewal theory (60K05)

Related Items (7)

Moments-Based Approximation to the Renewal Function ⋮ On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ On a class of stochastic models with two-sided jumps ⋮ A risk model with varying premiums: its risk management implications ⋮ Two-dimensional Renewal Function Approximation ⋮ Approximation of the Bivariate Renewal Function

Cites Work

• Renewal theory for functionals of a Markov chain with general state space
• Large claims approximations for risk processes in a Markovian environment
• Simple approximations of ruin probabilities
• Classes of ``aging distributions
• The reliability of an object with semi-Markov failure rate
• Lundberg inequalities for renewal equations
• Bounds for the ruin probability under a markovian modulated risk model
• A MARKOV RENEWAL APPROACH TO THE ASYMPTOTIC DECAY OF THE TAIL PROBABILITIES IN RISK AND QUEUING PROCESSES
• Applied Probability and Queues
• Risk theory in a Markovian environment
• Reliability of a system with Poisson inspection times

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