On the central management of risk networks

DOI10.1017/apr.2016.85zbMath1427.91076arXiv1506.08117OpenAlexW3122712066MaRDI QIDQ5233165

Florin Avram, Andreea Minca

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

zbMATH Keywords

ruin probabilityMarkov additive processSparre Andersen processmultidimensional risk processmatrix exponential approximation

Mathematics Subject Classification ID

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

• Mathematica
• SpectrallyNegativeMarkovAdditiveProcess

Cites Work

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