The matrix sequential probability ratio test and multivariate ruin theory

DOI10.1007/978-3-031-47417-0_26zbMATH Open1548.62201MaRDI QIDQ6630466

Oscar Peralta, Hansjoerg Albrecher

Publication date: 31 October 2024

zbMATH Keywords

renewal theorymultivariate risk processesmatrix sequential probability ratio test

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)

Cites Work

• Occupation densities in solving exit problems for Markov additive processes and their reflections
• On the exit time from a cone for random walks with drift
• A two-dimensional ruin problem on the positive quadrant
• A Two-Dimensional Risk Model with Proportional Reinsurance
• Queues and Risk Models with Simultaneous Arrivals
• Multihypothesis sequential probability ratio tests .I. Asymptotic optimality
• Exact boundaries in sequential testing for phase-type distributions
• Optimum Character of the Sequential Probability Ratio Test
• Sequential Tests of Statistical Hypotheses

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