Perturbed Risk Processes Analyzed as Fluid Flows

DOI10.1080/15326340903088867zbMath1187.91106OpenAlexW2034664345MaRDI QIDQ3396380

Jiandong Ren, David A. Stanford, Lothar Breuer, Kaiqi Yu

Publication date: 18 September 2009

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340903088867

zbMATH Keywords

ruin probabilityMarkov-modulated fluid flow modelperturbed aggregate loss processphase-type structure

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65)

Related Items

Fluid queue driven by an \(M/M/1\) queue subject to Bernoulli-schedule-controlled vacation and vacation interruption, Fluid model driven by an \(\mathrm{M}/\mathrm{M}/1\) queue with multiple vacations and \(N\)-policy

Cites Work

• Unnamed Item
• Risk theory for the compound Poisson process that is perturbed by diffusion
• The use of vector-valued martingales in risk theory
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps
• Stationary distributions for fluid flow models with or without brownian noise
• Risk processes analyzed as fluid queues
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• The time to ruin for a class of Markov additive risk process with two-sided jumps
• On Erlang(2) Risk Process Perturbed by Diffusion