Phase-type representations in random walk and queueing problems

From MaRDI portal
Publication:1196939

DOI10.1214/aop/1176989805zbMath0755.60049OpenAlexW2051061005MaRDI QIDQ1196939

Soren Asmussen

Publication date: 16 January 1993

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176989805




Related Items (41)

Extreme behavior of multivariate phase-type distributionsUpper bounds on the expected time to ruin and on the expected recovery timeA general method for finding the optimal threshold in discrete timeM/PH/1 queueing model with re-servicingA discrete time inventory system with postponed demandsOn Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative JumpsFinite time ruin probabilities with one Laplace inversion.A stochastic inventory system with postponed demands and infinite pool in discrete-time setupComputational methods in risk theory: a matrix-algorithmic approachLoss Rate Asymptotics in aGI/G/1 Queue with Finite BufferRuin Problems for Phase-Type(2) Risk ProcessesParametric survival densities from phase-type modelsMatrix-Form Recursions for a Family of Compound DistributionsA generalized penalty function in the Sparre Andersen risk model with two-sided jumpsAnalysis of a continuous time SM[K/PH[K]/1/FCFS queue: age process, sojourn times, and queue lengths] ⋮ Erlangian Approximations for Finite-Horizon Ruin ProbabilitiesOn the Distribution of the Deficit at Ruin when Claims are Phase-typeThe Joint Density of the Surplus Before and After Ruin in the Sparre Andersen ModelCorrected phase-type approximations of heavy-tailed risk models using perturbation analysisOn the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrierOn perpetual American put valuation and first-passage in a regime-switching model with jumpsExtremal \(GI/GI/1\) queues given two moments: exploiting Tchebycheff systemsThe distribution of total dividend payments in a Sparre Andersen modelRuin probabilities for Erlang (2) risk processesA renewal jump-diffusion process with threshold dividend strategyOn Maxima and Ladder Processes for a Dense Class of Lévy ProcessRuin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival TimesEquilibrium Distributions of Discrete Phase TypeA Risk Model Based on Markov Chains with Marked TransitionsThe variance constant for the actual waiting time of the PH/PH/1 queueEvaluating readmission rates and discharge planning by analyzing the length-of-stay of patientsRuin probabilities based at claim instants for some non-Poisson claim processesAge process, workload process, sojourn times, and waiting times in a discrete time SM[K/PH[K]/1/FCFS queue] ⋮ On doubly reflected completely asymmetric Lévy processes.Russian and American put options under exponential phase-type Lévy models.Fitting Matrix Geometric Distributions by Model ReductionRuin probabilities in models with a Markov chain dependence structureThe Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen ModelThe Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen ModelApproximations for Finite Horizon Ruin Probabilities in the Renewal ModelRare events in queueing systems -- A survey




This page was built for publication: Phase-type representations in random walk and queueing problems