A heavy traffic approach to modeling large life insurance portfolios

DOI10.1016/J.INSMATHECO.2013.04.011zbMATH Open1284.91513OpenAlexW2083710508MaRDI QIDQ2446005FDOQ2446005

Authors Jose Blanchet, Henry Lam

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

Mathematics Subject Classification ID

Gaussian processes (60G15) Portfolio theory (91G10) Queueing theory (aspects of probability theory) (60K25) Traffic problems in operations research (90B20)

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• A functional central limit theorem for the \(M/GI/\infty \) queue
• Big queues.
• Diffusion approximations in collective risk theory
• Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes
• Extremes of Gaussian processes over an infinite horizon
• Extremes of a certain class of Gaussian processes
• Heavy-Traffic Limits for Queues with Many Exponential Servers
• Large Deviations for Gaussian Queues
• Many-server diffusion limits for \(G/Ph/n+GI\) queues
• Ruin probabilities
• SPDE limits of many-server queues
• Stochastic-Process Limits
• The \(G/GI/N\) queue in the Halfin-Whitt regime
• The multiclass GI/PH/N queue in the Halfin-Whitt regime
• Two-parameter heavy-traffic limits for infinite-server queues
• Uniform Central Limit Theorems

Cited in

(3)

• An operator splitting harmonic differential quadrature approach to solve Young's model for life insurance risk
• Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process
• Diffusion approximations for insurance risk processes

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