Risk processes analyzed as fluid queues
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Cites work
- A logarithmic reduction algorithm for quasi-birth-death processes
- An EM algorithm for batch Markovian arrival processes and its comparison to a simpler estimation procedure
- An EM algorithm for estimation in Markov-modulated Poisson processes
- Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
- Convergence analysis of the Latouche--Ramaswami algorithm for null recurrent quasi-birth-death processes
- Erlangian Approximations for Finite-Horizon Ruin Probabilities
- Finite time ruin probabilities with one Laplace inversion.
- Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
- scientific article; zbMATH DE number 1867249 (Why is no real title available?)
- Introduction to Matrix Analytic Methods in Stochastic Modeling
- Marked point processes as limits of Markovian arrival streams
- New convergence results on functional iteration techniques for the numerical solution of M/G/1 type Markov chains
- On the Distribution of the Deficit at Ruin when Claims are Phase-type
- Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
- Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
- Solving m/g/l type markov chains: recent advances and applications
- Solving matrix polynomial equations arising in queueing problems
- Stationary distributions for fluid flow models with or without brownian noise
- Transient Markov arrival processes
Cited in
(56)- Taboo probability on a simple fluid flow model
- Duality in ruin problems for ordered risk models
- An IBNR-RBNS insurance risk model with marked Poisson arrivals
- The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach
- Queueing and risk models with dependencies
- Markov-modulated fluid flow model with server maintenance period
- Delayed capital injections for a risk process with Markovian arrivals
- On a class of dependent Sparre Andersen risk models and a bailout application
- On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
- \(V\)-uniform ergodicity for fluid queues
- The time to ruin and the number of claims until ruin for phase-type claims
- A unified analysis of claim costs up to ruin in a Markovian arrival risk model
- A note on some joint distribution functions involving the time of ruin
- A risk model based on Markov chains with marked transitions
- Erlangian approximation to finite time ruin probabilities in perturbed risk models
- Ruin time and aggregate claim amount up to ruin time for the perturbed risk process
- Ruin probabilities in models with a Markov chain dependence structure
- The Markov additive risk process under an Erlangized dividend barrier strategy
- On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
- On the absolute ruin in a map risk model with debit interest
- The moments of the time of ruin in Markovian risk models
- On a Generalization of the Risk Model with Markovian Claim Arrivals
- Queues and Risk Processes with Dependencies
- Perturbed Risk Processes Analyzed as Fluid Flows
- First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
- A quintuple law for Markov additive processes with phase-type jumps
- Analysis of a threshold dividend strategy for a MAP risk model
- On the analysis of a multi-threshold Markovian risk model
- Dependent Risk Models with Bivariate Phase-Type Distributions
- Risk processes with interest force in Markovian environment
- On a perturbed MAP risk model under a threshold dividend strategy
- The stochastic fluid-fluid model: a stochastic fluid model driven by an uncountable-state process, which is a stochastic fluid model itself
- Parisian types of ruin probabilities for a class of dependent risk-reserve processes
- A generalised Gerber-Shiu measure for Markov-additive risk processes with phase-type claims and capital injections
- On the generalized reward generator for stochastic fluid models: a new equation for \(\Psi\)
- scientific article; zbMATH DE number 873447 (Why is no real title available?)
- A stochastic two-dimensional fluid model
- Analysis of a MAP risk model with stochastic incomes, inter-dependent phase-type claims and a constant barrier
- Recursive calculation of the dividend moments in a multi-threshold risk model
- Analysis of a generalized penalty function in a semi-Markovian risk model
- Matrix-analytic methods for the analysis of stochastic fluid-fluid models
- Perturbed MAP Risk Models with Dividend Barrier Strategies
- Maximum level and hitting probabilities in stochastic fluid flows using matrix differential Riccati equations
- The surplus prior to ruin and the deficit at ruin for a correlated risk process
- The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
- Applications of fluid flow matrix analytic methods in ruin theory -- a review
- Singularly perturbed Markov modulated fluid queues
- Erlangian Approximations for the Transient Analysis of a Fluid Queue Model for Forest Fire Perimeter
- A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
- Finding an NARE whose minimal nonnegative solution represents first passage quantities in the two-dimensional Brownian motion
- Stationary analysis of a constrained Markov fluid model with two buffers
- On the discounted penalty function in a Markov-dependent risk model
- Passage times in fluid models with application to risk processes
- Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
- Some ruin problems for the MAP risk model
- The use of vector-valued martingales in risk theory
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