A correlated overflow model with a view towards applications in credit risk
From MaRDI portal
Publication:2627622
DOI10.1504/IJOR.2015.071490zbMath1362.90130MaRDI QIDQ2627622
Paul Gruntjes, M. R. H. Mandjes
Publication date: 31 May 2017
Published in: International Journal of Operational Research (Search for Journal in Brave)
correlationworkloadstochastic processesqueuescredit riskmathematical financestoragedefault probabilityoverflow probabilitiescorrelated overflowcoupled queueing
Queues and service in operations research (90B22) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)