Ruin probabilities and the compound Poisson-Markov chain

DOI10.1080/03461238.1986.10413793zbMath0661.62112OpenAlexW1984990466MaRDI QIDQ3810767

Colin M. Ramsay

Publication date: 1986

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1986.10413793

zbMATH Keywords

waiting timecompound Poisson processPoisson inputcollective risk theoryprobability of non- ruinsemi-Markov service time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (1)

Compound binomial model with batch Markovian arrival process

Cites Work

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• Stationary semi-Markov models in risk and queueing theories
• A system of integro-differential-difference equations in risk theory, using compound birth-death processes
• Practical inversion formulas
• The single server queue with Poisson input and semi-Markov service times

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