메뉴 건너뛰기




Volumn 1989, Issue 2, 1989, Pages 69-100

Risk theory in a markovian environment

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84857400003     PISSN: 03461238     EISSN: 16512030     Source Type: Journal    
DOI: 10.1080/03461238.1989.10413858     Document Type: Article
Times cited : (178)

References (57)
  • 1
    • 1642507379 scopus 로고
    • On the use of fundamental identity in the theory of semi-Markov processes
    • Arjas, E. (1972). On the use of fundamental identity in the theory of semi-Markov processes. Adv. Appl. Probab. 4, 271-284.
    • (1972) Adv. Appl. Probab , vol.4 , pp. 271-284
    • Arjas, E.1
  • 2
    • 0041117277 scopus 로고
    • Symmetric Wiener-Hopf factorisations in Markov additive processes
    • Arjas, E. & Speed, T. P. (1973). Symmetric Wiener-Hopf factorisations in Markov additive processes. Z. Wahrscheinlichkeitsth. verw. Geb. 26, 105-118.
    • (1973) Z. Wahrscheinlichkeitsth. Verw. Geb , vol.26 , pp. 105-118
    • Arjas, E.1    Speed, T.P.2
  • 3
    • 84873011522 scopus 로고
    • Topics in Markov additive processes
    • Arjas, E. & Speed, T. P. (1973). Topics in Markov additive processes. Math. Scand. 33, 171-192.
    • (1973) Math. Scand , vol.33 , pp. 171-192
    • Arjas, E.1    Speed, T.P.2
  • 4
    • 3142609342 scopus 로고
    • Asymptotic properties of the distribution of the supremum of a random walk on a Markov chain
    • Arndt, K. (1980). Asymptotic properties of the distribution of the supremum of a random walk on a Markov chain. Th. Probab. Appl. 25, 309-324.
    • (1980) Th. Probab. Appl , vol.25 , pp. 309-324
    • Arndt, K.1
  • 5
    • 84950701039 scopus 로고
    • On properties of boundary functionals of a random walk on a Markov chain
    • Arndt, K. (1981). On properties of boundary functionals of a random walk on a Markov chain. Math. Operationsforschung Statist. 12, 85-100.
    • (1981) Math. Operationsforschung Statist , vol.12 , pp. 85-100
    • Arndt, K.1
  • 6
    • 84872990658 scopus 로고
    • On the distribution of the supremum of a random walk on a Markov chain
    • (ed. A. A. Borovkov), Optimizations Software Inc., New York
    • Arndt, K. (1984). On the distribution of the supremum of a random walk on a Markov chain. Limit Theorems and Related Problems (ed. A. A. Borovkov), pp. 253-267. Optimizations Software Inc., New York.
    • (1984) Limit Theorems and Related Problems , pp. 253-267
    • Arndt, K.1
  • 7
    • 0002321011 scopus 로고
    • Approximations for the probability of ruin within finite time
    • Asmussen, S. (1984). Approximations for the probability of ruin within finite time. Scand. Actuarial J., 31-57.
    • (1984) Scand. Actuarial J , pp. 31-57
    • Asmussen, S.1
  • 8
    • 84950612394 scopus 로고
    • Approximations for the probability of ruin within finite time
    • Asmussen, S. (1985). Approximations for the probability of ruin within finite time. Scand. Actuarial J., 64.
    • (1985) Scand. Actuarial J , pp. 64
    • Asmussen, S.1
  • 9
    • 0001748066 scopus 로고
    • Conjugate processes and the simulation of ruin problems
    • Asmussen, S. (1985). Conjugate processes and the simulation of ruin problems. Stoch. Proc. Appl. 20, 213-229.
    • (1985) Stoch. Proc. Appl , vol.20 , pp. 213-229
    • Asmussen, S.1
  • 10
    • 0004241943 scopus 로고
    • John Wiley & Sons, Chichester, New York, Brisbane, Toronto, Singapore
    • Asmussen, S. (1987). Applied probability and queues. John Wiley & Sons, Chichester, New York, Brisbane, Toronto, Singapore.
    • (1987) Applied probability and queues
    • Asmussen, S.1
  • 11
    • 0023562502 scopus 로고
    • The heavy traffic limit of a class of Markovian queuing models
    • Asmussen, S. (1987). The heavy traffic limit of a class of Markovian queuing models. Opns. Res. Letters 6, 301-306.
    • (1987) Opns. Res. Letters , vol.6 , pp. 301-306
    • Asmussen, S.1
  • 12
    • 0000911117 scopus 로고
    • Aspects of matrix Wiener Hopf factorisation in applied probability
    • (in print)
    • Asmussen, S. (1989). Aspects of matrix Wiener Hopf factorisation in applied probability. The Mathematical Scientist (in print).
    • (1989) The Mathematical Scientist
    • Asmussen, S.1
  • 14
    • 0000558209 scopus 로고
    • Ruin probabilities expressed in terms of storage processes
    • Asmussen, S. & Schock Petersen, S. (1988). Ruin probabilities expressed in terms of storage processes. Adv. Appl. Probab. 20, 913-916.
    • (1988) Adv. Appl. Probab , vol.20 , pp. 913-916
    • Asmussen, S.1    Schock Petersen, S.2
  • 15
    • 84963197855 scopus 로고
    • Large deviation results for time-dependent queue length probabilities
    • Asmussen, S. & Thorisson, H. (1988). Large deviation results for time-dependent queue length probabilities. Stochastic Models 4, 99-116.
    • (1988) Stochastic Models , vol.4 , pp. 99-116
    • Asmussen, S.1    Thorisson, H.2
  • 16
    • 84975994965 scopus 로고
    • On a generalization of the fundamental identity of Wald
    • Bellman, R. (1957). On a generalization of the fundamental identity of Wald. Proc. Camb. Philos. Soc. 53, 257-259.
    • (1957) Proc. Camb. Philos. Soc , vol.53 , pp. 257-259
    • Bellman, R.1
  • 17
    • 0001080554 scopus 로고
    • Exponential inequalities for ruin probabilities in the Cox case
    • Björk, T. & Grandell, J. (1988). Exponential inequalities for ruin probabilities in the Cox case. Scand. Actuarial J., 77-111.
    • (1988) Scand. Actuarial J , pp. 77-111
    • Björk, T.1    Grandell, J.2
  • 18
    • 33845539222 scopus 로고
    • Stability theorems and estimates of the rate of convergence of the components of factorizations for walks defined on Markov chains
    • Borovkov, K. A. (1980). Stability theorems and estimates of the rate of convergence of the components of factorizations for walks defined on Markov chains. Th. Probab. Appl. 25, 325-334.
    • (1980) Th. Probab. Appl , vol.25 , pp. 325-334
    • Borovkov, K.A.1
  • 19
    • 0001987242 scopus 로고
    • Numerical inversion of the Laplace transform: A survey and comparison of methods
    • Davies, B. & Martin, B. (1979). Numerical inversion of the Laplace transform: a survey and comparison of methods. J. Comp. Phys. 33, 1-32.
    • (1979) J. Comp. Phys , vol.33 , pp. 1-32
    • Davies, B.1    Martin, B.2
  • 21
    • 0002842136 scopus 로고
    • A class of approximations of ruin probabilities
    • 1977, Scand. Act. J. 1978, 77-78
    • Grandell, J. (1977/78). A class of approximations of ruin probabilities. Scand. Act. J., Suppl. 1977, 37-52; Scand. Act. J. 1978, 77-78.
    • (1977) Scand. Act. J , pp. 37-52
    • Grandell, J.1
  • 22
    • 0001479193 scopus 로고
    • Generalized inverses and their application to applied probability problems
    • Hunter, J. J. (1982). Generalized inverses and their application to applied probability problems. Linear Algebra Appl. 45, 157-198.
    • (1982) Linear Algebra Appl , vol.45 , pp. 157-198
    • Hunter, J.J.1
  • 23
    • 0006311614 scopus 로고
    • Central limit theorems and statistical inference for finite Markov chains
    • Höglund, T. (1974). Central limit theorems and statistical inference for finite Markov chains. Z. Wahrscheinlichkeitsth. verw. Geb. 29, 123-151.
    • (1974) Z. Wahrscheinlichkeitsth. Verw. Geb , vol.29 , pp. 123-151
    • Höglund, T.1
  • 25
    • 77951294636 scopus 로고
    • Sur une généralisation du concept de promenade aléatoire sur la droite réelle
    • Janssen, J. (1970). Sur une généralisation du concept de promenade aléatoire sur la droite réelle. Ann. Inst. H. Poincaré, B, VI, 249-269.
    • (1970) Ann. Inst. H. Poincaré, B , vol.6 , pp. 249-269
    • Janssen, J.1
  • 26
    • 0041685575 scopus 로고
    • Some transient results on the M/SM/1 special semi-Markov model in risk and queuing theories
    • Janssen, J. (1980). Some transient results on the M/SM/1 special semi-Markov model in risk and queuing theories. Astin Bull. 11, 41-51.
    • (1980) Astin Bull , vol.11 , pp. 41-51
    • Janssen, J.1
  • 27
    • 0042186287 scopus 로고
    • Probabilités de ruine pour une classe de modeles de risque semi-Markoviens
    • Janssen, J. & Reinhard, J. M. (1985). Probabilités de ruine pour une classe de modeles de risque semi-Markoviens. Astin Bull. 15, 123-133.
    • (1985) Astin Bull , vol.15 , pp. 123-133
    • Janssen, J.1    Reinhard, J.M.2
  • 29
    • 84971113543 scopus 로고
    • A central limit theorem for processes defined on a finite Markov chain
    • Keilson, J. & Wishart, D. M. G. (1964). A central limit theorem for processes defined on a finite Markov chain. Proc. Camb. Philos. Soc. 60, 547-567.
    • (1964) Proc. Camb. Philos. Soc , vol.60 , pp. 547-567
    • Keilson, J.1    Wishart, D.M.G.2
  • 30
    • 84875751625 scopus 로고
    • Boundary problems for additive processes defined on a finite Markov chain
    • Keilson, J. & Wishart, D. M. G. (1965). Boundary problems for additive processes defined on a finite Markov chain. Proc. Camb. Philos. Soc. 61, 173-190.
    • (1965) Proc. Camb. Philos. Soc , vol.61 , pp. 173-190
    • Keilson, J.1    Wishart, D.M.G.2
  • 31
    • 84971194604 scopus 로고
    • Addenda to processes defined on a finite Markov chain
    • Keilson, J. & Wishart, D. M. G. (1967). Addenda to processes defined on a finite Markov chain. Proc. Camb. Philos. Soc. 63, 187-193.
    • (1967) Proc. Camb. Philos. Soc , vol.63 , pp. 187-193
    • Keilson, J.1    Wishart, D.M.G.2
  • 34
    • 84963040969 scopus 로고
    • A convexity property of positive matrices
    • Kingman, J. F. C. (1961). A convexity property of positive matrices. Quart. J. Math. Oxford 12, 283-284.
    • (1961) Quart. J. Math. Oxford , vol.12 , pp. 283-284
    • Kingman, J.F.C.1
  • 35
    • 77952698139 scopus 로고
    • A generalization of Wald’s identity with applications to random walks
    • Miller, H. D. (1961). A generalization of Wald’s identity with applications to random walks. Ann. Math. Statist. 32, 549-560.
    • (1961) Ann. Math. Statist , vol.32 , pp. 549-560
    • Miller, H.D.1
  • 36
    • 0000413365 scopus 로고
    • A convexity property in the theory of random variables defined on a finite Markov chain
    • Miller, H. D. (1961). A convexity property in the theory of random variables defined on a finite Markov chain. Ann. Math. Statist. 32, 1260-1270.
    • (1961) Ann. Math. Statist , vol.32 , pp. 1260-1270
    • Miller, H.D.1
  • 37
    • 84971178596 scopus 로고
    • A matrix factorization problem in the theory of random variables defined on a finite Markov chain
    • Miller, H. D. (1962). A matrix factorization problem in the theory of random variables defined on a finite Markov chain. Proc. Camb. Philos. Soc. 58, 268-285.
    • (1962) Proc. Camb. Philos. Soc , vol.58 , pp. 268-285
    • Miller, H.D.1
  • 38
    • 84971138798 scopus 로고
    • Absorption probabilities for sums of random variables defined on a finite Markov chain
    • Miller, H. D. (1962). Absorption probabilities for sums of random variables defined on a finite Markov chain. Proc. Camb. Philos. Soc. 58, 286-298.
    • (1962) Proc. Camb. Philos. Soc , vol.58 , pp. 286-298
    • Miller, H.D.1
  • 39
    • 84950663453 scopus 로고
    • Factorization identities for processes with independent increments given on a Markov chain
    • Mogul’skii, A. A. (1974). Factorization identities for processes with independent increments given on a Markov chain. Th. Probab. Math. Statist. 11.
    • (1974) Th. Probab. Math. Statist , pp. 11
    • Mogul’skii, A.A.1
  • 42
    • 0001621270 scopus 로고
    • Markov additive processes. 1. Eigenvalues and limit theorems. II. Large deviations
    • Ney, P. & Nummelin, E. (1986). Markov additive processes. 1. Eigenvalues and limit theorems. II. Large deviations. Ann. Probab. 15, 561-592, 593-609.
    • (1986) Ann. Probab , vol.15
    • Ney, P.1    Nummelin, E.2
  • 43
    • 0042761179 scopus 로고
    • A classification of a random walk defined on a finite Markov chain. Z
    • Newbould, M. (1973). A classification of a random walk defined on a finite Markov chain. Z. Wahrscheinlichkeitsth. verw. Geb. 26, 95-104.
    • (1973) Wahrscheinlichkeitsth. Verw. Geb , vol.26 , pp. 95-104
    • Newbould, M.1
  • 44
    • 0020748126 scopus 로고
    • An empirical investigation of the transient behavior of stationary queuing systems
    • Odoni, A. R. & Roth, E. (1983). An empirical investigation of the transient behavior of stationary queuing systems. Opns. Res. 31, 432-455.
    • (1983) Opns. Res , vol.31 , pp. 432-455
    • Odoni, A.R.1    Roth, E.2
  • 45
    • 0043262320 scopus 로고
    • A boundary value problem for sums of lattice random variables given on a finite regular Markov chain
    • Presman, E. L. (1967). A boundary value problem for sums of lattice random variables given on a finite regular Markov chain. Th. Probab. Appl. 12, 323-328.
    • (1967) Th. Probab. Appl , vol.12 , pp. 323-328
    • Presman, E.L.1
  • 46
    • 0039465502 scopus 로고
    • Factorization methods and boundary problems for sums of random variables given on a Markov chain
    • (English translation)
    • Presman, E. L. (1969). Factorization methods and boundary problems for sums of random variables given on a Markov chain. Math. USSR Izv. 3, 815-852 (English translation).
    • (1969) Math. USSR Izv , vol.3 , pp. 815-852
    • Presman, E.L.1
  • 47
    • 84950663474 scopus 로고
    • Identités du type Baxter-Spitzer type pour une classe de promenades aleatoires semi-Markoviennes
    • Reinhard, J. M. (1982). Identités du type Baxter-Spitzer type pour une classe de promenades aleatoires semi-Markoviennes. Ann. Inst. H. Poincaré, B, 18, 319-333.
    • (1982) Ann. Inst. H. Poincaré, B , vol.18 , pp. 319-333
    • Reinhard, J.M.1
  • 48
    • 84872175281 scopus 로고
    • On a class of semi-Markov risk models obtained as classical risk models in a Markovian environment
    • Reinhard, J. M. (1984). On a class of semi-Markov risk models obtained as classical risk models in a Markovian environment. Astin Bull. 14, 23-43.
    • (1984) Astin Bull , vol.14 , pp. 23-43
    • Reinhard, J.M.1
  • 49
    • 0001561317 scopus 로고
    • The queue M/G/1 with Markov-modulated arrivals and services
    • Regterschot, G. J. K. & de Smit, J. H. A. (1986). The queue M/G/1 with Markov-modulated arrivals and services. Math. Opns Res. 11, 465-483.
    • (1986) Math. Opns Res , vol.11 , pp. 465-483
    • Regterschot, G.J.K.1    de Smit, J.H.A.2
  • 50
    • 84946248524 scopus 로고
    • The numerical calculation of U(w, t), the probability of non-ruin in any interval (0, t)
    • Seal, H. L. (1974). The numerical calculation of U(w, t), the probability of non-ruin in any interval (0, t). Scand. Actuarial J., 121-139.
    • (1974) Scand. Actuarial J , pp. 121-139
    • Seal, H.L.1
  • 51
    • 0002974752 scopus 로고
    • When does ruin occur in the collective theory of risk?
    • Segerdahl, C.-O. (1955). When does ruin occur in the collective theory of risk? Skand. Aktuar. Tidsskr., 22-36.
    • (1955) Skand. Aktuar. Tidsskr , pp. 22-36
    • Segerdahl, C.-O.1
  • 52
    • 0000723639 scopus 로고
    • Corrected diffusion approximations in certain random walk problems
    • Siegmund, D. (1979). Corrected diffusion approximations in certain random walk problems. Adv. Appl. Probab. 11, 701-719.
    • (1979) Adv. Appl. Probab , vol.11 , pp. 701-719
    • Siegmund, D.1
  • 53
    • 38249040998 scopus 로고
    • The single server semi-Markov queue
    • de Smit, J. H. A. (1986). The single server semi-Markov queue. Stoch. Proc. Appl. 22, 37-50.
    • (1986) Stoch. Proc. Appl , vol.22 , pp. 37-50
    • de Smit, J.H.A.1
  • 55
    • 84958443849 scopus 로고
    • Calculation of ruin probabilities when the claim distribution is lognormal
    • Thorin, O. & Wikstad, N. (1976). Calculation of ruin probabilities when the claim distribution is lognormal. Scand. Act. J., 231-246.
    • (1976) Scand. Act. J , pp. 231-246
    • Thorin, O.1    Wikstad, N.2
  • 56
    • 84918296409 scopus 로고
    • Generalization of Wald’s fundamental identity of sequential analysis to Markov chains
    • Tweedie, M. C. K. (1960). Generalization of Wald’s fundamental identity of sequential analysis to Markov chains. Proc. Camb. Philos. Soc. 56, 205-214.
    • (1960) Proc. Camb. Philos. Soc , vol.56 , pp. 205-214
    • Tweedie, M.C.K.1
  • 57
    • 84950647954 scopus 로고
    • On the distribution of sums of random variables defined on a homogeneous Markov chain
    • Volkov, I. S. (1958). On the distribution of sums of random variables defined on a homogeneous Markov chain. Th. Probab. Appl. 3.
    • (1958) Th. Probab. Appl , pp. 3
    • Volkov, I.S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.