Expansions for Markov-modulated systems and approximations of ruin probability

DOI10.2307/3215264MaRDI QIDQ4877404zbMATH OpenOpenAlexFDO

Authors Bartlomiej Blaszczyszyn, Tomasz Rolski

Publication date 12 May 1996

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3215264

zbMATH Keywords

intensityfactorial momentsCox processstationary Markov processpremium rate function

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Queueing theory (aspects of probability theory) (60K25)

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Cited in

(4)

• Differentiability of functionals of Poisson processes via coupling. With applications to queueing theory
• Upper bound for finite-time ruin probability in a Markov-modulated market
• A note on expansion for functionals of spatial marked point processes
• Markovian risk process

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