Expansions for Markov-modulated systems and approximations of ruin probability

DOI10.2307/3215264zbMATH Open0856.60052OpenAlexW2083766138MaRDI QIDQ4877404FDOQ4877404

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

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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)

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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