Publication:3560912

simulation; stochastic control; subexponential distributions; large deviations; risk process; diffusion approximations; compound Poisson model; phase-type distributions; ruin probabilities; Markovian environment; renewal model; queuing models; claim size distribution; level-dependent risk process

Mathematics Subject Classification ID

60G50: Sums of independent random variables; random walks

60G44: Martingales with continuous parameter

60J60: Diffusion processes

60F10: Large deviations

60K15: Markov renewal processes, semi-Markov processes

60K37: Processes in random environments

60-02: Research exposition (monographs, survey articles) pertaining to probability theory

60K05: Renewal theory

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