Expansions for Markov-modulated systems and approximations of ruin probability

DOI10.2307/3215264zbMath0856.60052OpenAlexW2083766138MaRDI QIDQ4877404

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

factorial momentsCox processintensitystationary Markov processpremium rate function

Mathematics Subject Classification ID

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

Related Items (4)

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

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