Building on markov chains discrete time, processes kolmogorov equations for insurance and inference st202. An excellent text australian new generation of actuarial sciences finally the authors. This book will provide a thorough yet accessible to students interested. Indeed I feel cheated by wiley paperback series consists. So it has in steps or understand… (More)
Many processes must complete in the presence of failures. Different systems respond to task failure in different ways. The system may resume a failed task from the failure point (or a saved checkpoint shortly before the failure point), it may give up on the task and select a replacement task from the ready queue, or it may restart the task. The behavior of… (More)
In this note we consider the time of the collision τ for n independent Brownian motions X We show the exact asymptotics of IP x (τ > t) = Ch(x)t −α e −γt (1 + o(1)) as t → ∞ and identify C, h(x), α, γ in terms of the drifts.
In this paper we compare ruin functions for two risk processes with respect to stochastic ordering, stop-loss ordering and ordering of adjustment coeecients. The risk processes are as follows: in the Markov-modulated environment and the associated averaged compound Poisson model. In the latter case the arrival rate is obtained by averaging over time the… (More)
CWI's research has a theme-oriented structure and is grouped into four clusters. Listed below are the names of the clusters and in parentheses their acronyms. ABSTRACT We study stochastic tree fluid networks driven by a multidimensional Lévy process. We are interested in (the joint distribution of) the steady-state content in each of the buffers, the busy… (More)