A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion

DOI10.1016/J.SPA.2012.05.006zbMATH Open1255.60125OpenAlexW2092194503MaRDI QIDQ436299FDOQ436299

Landy Rabehasaina

Publication date: 20 July 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.05.006

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zbMATH Keywords

first time passage processmultivariate risk theory

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Continuous-time Markov processes on general state spaces (60J25)

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• Large deviations and overflow probabilities for the general single-server queue, with applications
• Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
• Self-similar processes as weak limits of a risk reserve process

Cited In (3)

• A survey of some recent results on Risk Theory
• On average losses in the ruin problem with fractional Brownian motion as input
• Multivariate claim processes with rough intensities: properties and estimation

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