A heavy traffic approach to modeling large life insurance portfolios

DOI10.1016/j.insmatheco.2013.04.011zbMath1284.91513OpenAlexW2083710508MaRDI QIDQ2446005

Henry Lam, Jose H. Blanchet

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) 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

• 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
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