A multidimensional ruin problem and an associated notion of duality

DOI10.1080/15326349.2016.1175949MaRDI QIDQ2816623zbMATH OpenOpenAlexFDO

Authors S. Ramasubramanian

Publication date 25 August 2016

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2016.1175949

zbMATH Keywords

storage networkregulated random walkrisk diversification treatySkorokhod problem (SP)Cramér-Lundberg type insurance network

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stochastic network models in operations research (90B15)

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Cites work

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• On the Ruin Problem of Collective Risk Theory
• Open Queueing Networks in Heavy Traffic
• Reflected Brownian motion on an orthant
• Reflected diffusions defined via the extended Skorokhod map
• Risk and duality in multidimensions
• Some Optimal Dividends Problems
• Stability and structural properties of stochastic storage networks
• Stochastic storage networks: stationarity and the feedforward case
• The equivalence of absorbing and reflecting barrier problems for stochastically monotone Markov processes

Cited in

(4)

• A multidimensional ruin problem
• Risk and duality in multidimensions
• scientific article; zbMATH DE number 1267463 (Why is no real title available?)
• Correction note to: ``A multidimensional ruin problem and an associated notion of duality

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