Affine storage and insurance risk models

DOI10.1287/MOOR.2020.1097MaRDI QIDQ5026437zbMATH OpenOpenAlexFDO

Authors Onno Boxma, M. R. H. Mandjes

Publication date 8 February 2022

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.2020.1097

zbMATH Keywords

insurance risk modelsstorage processes

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Stochastic network models in operations research (90B15)

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Cited in

(10)

• Extreme value analysis for a Markov additive process driven by a nonirreducible background chain
• Risk analysis for a stochastic cash manangement model with two type of customers
• A multiplicative version of the Lindley recursion
• A transient Cramér-Lundberg model with applications to credit risk
• Probabilistic approach to risk processes with level-dependent premium rate
• scientific article; zbMATH DE number 5824061 (Why is no real title available?)
• A decomposition for Lévy processes inspected at Poisson moments
• The Cramér-Lundberg model with a fluctuating number of clients
• Multiple per-claim reinsurance based on maximizing the Lundberg exponent
• Peer-to-peer lending: a growth-collapse model and its steady-state analysis

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