On the central management of risk networks
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Publication:5233165
DOI10.1017/apr.2016.85zbMath1427.91076arXiv1506.08117OpenAlexW3122712066MaRDI QIDQ5233165
Publication date: 16 September 2019
Published in: Unnamed Author (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.08117
ruin probabilityMarkov additive processSparre Andersen processmultidimensional risk processmatrix exponential approximation
Processes with independent increments; Lévy processes (60G51) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Risk models (general) (91B05) Jump processes on discrete state spaces (60J74)
Related Items (4)
A Dynamic Contagion Risk Model with Recovery Features ⋮ On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails
Uses Software
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