The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach

DOI10.1007/S10479-015-2105-0zbMATH Open1371.60167OpenAlexW2230410437MaRDI QIDQ2014662FDOQ2014662

Authors: Mehmet Akif Yazici, Nail Akar 

Publication date: 25 August 2017

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

Full work available at URL: http://hdl.handle.net/11693/36360

Recommendations

• Risk processes analyzed as fluid queues
• Calculation of finite time ruin probabilities for some risk models
• A risk model based on Markov chains with marked transitions
• The moments of the time of ruin in Markovian risk models
• Erlangian Approximations for Finite-Horizon Ruin Probabilities

zbMATH Keywords

numerical methodruin probabilitiesMarkov fluid queues

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Ruin probabilities
• Title not available (Why is that?)
• The compound Poisson risk model with multiple thresholds
• Passage times in fluid models with application to risk processes
• Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
• Computational methods in risk theory: a matrix-algorithmic approach
• A single-server queue with server vacations and a class of non-renewal arrival processes
• A versatile Markovian point process
• Markov additive processes. I
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Risk theory in a Markovian environment
• Risk processes analyzed as fluid queues
• Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
• Fluid queues with level dependent evolution
• On a Generalization of the Risk Model with Markovian Claim Arrivals
• Title not available (Why is that?)
• A risk model with multilayer dividend strategy
• Performance measures of a multi-layer Markovian fluid model
• On the analysis of a multi-threshold Markovian risk model
• Calculation of Ruin Probabilities when the Premium Depends on the Current Reserve
• Models of network access using feedback fluid queues
• Infinite- and finite-buffer Markov fluid queues: a unified analysis
• Phase-type distributions and risk processes with state-dependent premiums
• Applications of fluid flow matrix analytic methods in ruin theory -- a review
• On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest
• Solving Multi-Regime Feedback Fluid Queues

Cited In (2)

• Transient and first passage time distributions of first- and second-order multi-regime Markov fluid queues via ME-fication
• Steady-state and first passage time distributions for waiting times in the \(MAP/M/s+G\) queueing model with generally distributed patience times

This page was built for publication: The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2014662)