A heavy traffic approach to modeling large life insurance portfolios
From MaRDI portal
Publication:2446005
DOI10.1016/j.insmatheco.2013.04.011zbMath1284.91513OpenAlexW2083710508MaRDI QIDQ2446005
Publication date: 15 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.04.011
Gaussian processes (60G15) Queueing theory (aspects of probability theory) (60K25) Traffic problems in operations research (90B20) Portfolio theory (91G10)
Related Items
Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process, Diffusion approximations for insurance risk processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Two-parameter heavy-traffic limits for infinite-server queues
- The \(G/GI/N\) queue in the Halfin-Whitt regime
- Big queues.
- Extremes of a certain class of Gaussian processes
- SPDE limits of many-server queues
- Many-server diffusion limits for \(G/Ph/n+GI\) queues
- A functional central limit theorem for the \(M/GI/\infty \) queue
- Extremes of Gaussian processes over an infinite horizon
- Stochastic-Process Limits
- Efficient Simulation for the Maximum of Infinite Horizon Discrete-Time Gaussian Processes
- Large Deviations for Gaussian Queues
- Heavy-Traffic Limits for Queues with Many Exponential Servers
- Uniform Central Limit Theorems
- The multiclass GI/PH/N queue in the Halfin-Whitt regime
- Diffusion approximations in collective risk theory