Applications of fluid flow matrix analytic methods in ruin theory —a review;Méetodos analíticos matriciales para flujos fluidos aplicados a la teoría de la ruina —una revisión

DOI10.1007/BF03191912zbMath1186.60092OpenAlexW1523244251MaRDI QIDQ5852473

David Landriault, Andrei L. Badescu

Publication date: 27 January 2010

Published in: Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/43700

zbMATH Keywords

phase-type distributionMarkovian arrival processfluid queuematrix analytic methodssurplus processfirst passage probabilities

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Markov renewal processes, semi-Markov processes (60K15)

Related Items (11)

\(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment ⋮ Ruin probabilities for risk process in a regime-switching environment ⋮ Markov-modulated fluid flow model with server maintenance period ⋮ On a class of dependent Sparre Andersen risk models and a bailout application ⋮ Parisian types of ruin probabilities for a class of dependent risk-reserve processes ⋮ Ruin problems for risk processes with dependent phase-type claims ⋮ Stochastic fluid models with upward jumps and phase transitions ⋮ A MAP-modulated fluid flow model with multiple vacations ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach ⋮ Ruin problems for epidemic insurance

This page was built for publication: Applications of fluid flow matrix analytic methods in ruin theory —a review;Méetodos analíticos matriciales para flujos fluidos aplicados a la teoría de la ruina —una revisión