Perturbed Risk Processes Analyzed as Fluid Flows

DOI10.1080/15326340903088867zbMath1187.91106OpenAlexW2034664345MaRDI QIDQ3396380

Jiandong Ren, David A. Stanford, Lothar Breuer, Kaiqi Yu

Publication date: 18 September 2009

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340903088867

zbMATH Keywords

ruin probabilityMarkov-modulated fluid flow modelperturbed aggregate loss processphase-type structure

Mathematics Subject Classification ID

Related Items (2)

Fluid queue driven by an \(M/M/1\) queue subject to Bernoulli-schedule-controlled vacation and vacation interruption ⋮ Fluid model driven by an \(\mathrm{M}/\mathrm{M}/1\) queue with multiple vacations and \(N\)-policy

Cites Work

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• The use of vector-valued martingales in risk theory
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• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps
• Stationary distributions for fluid flow models with or without brownian noise
• Risk processes analyzed as fluid queues
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• The time to ruin for a class of Markov additive risk process with two-sided jumps
• On Erlang(2) Risk Process Perturbed by Diffusion

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