The matrix sequential probability ratio test and multivariate ruin theory

DOI10.1007/978-3-031-47417-0_26MaRDI QIDQ6630466zbMATH OpenFDO

Authors Hansjörg Albrecher, Oscar Peralta

Publication date 31 October 2024

Full work available at URL https://doi.org/10.1007/978-3-031-47417-0_26

zbMATH Keywords

matrix sequential probability ratio testmultivariate risk processesrenewal theory

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Sequential statistical analysis (62L10) Risk models (general) (91B05)

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Cites work

• A two-dimensional risk model with proportional reinsurance
• A two-dimensional ruin problem on the positive quadrant
• Exact boundaries in sequential testing for phase-type distributions
• Multihypothesis sequential probability ratio tests .I. Asymptotic optimality
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• On the exit time from a cone for random walks with drift
• Optimum Character of the Sequential Probability Ratio Test
• Queues and risk models with simultaneous arrivals
• Sequential Tests of Statistical Hypotheses

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