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Computational methods in risk theory: A matrix-algorithmic approach

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References

1991New results on the single server queue with a batch markovian arrival process1,085 cited
1982Estimates for the probability of ruin with special emphasis on the possibility of large claims388 cited
1989Risk theory in a Markovian environment227 cited
1989Martingales and insurance risk176 cited
1989Markov processes whose steady state distribution is matrix-exponential with an application to theGI/PH/1 queue108 cited
1984Approximations for the probability of ruin within finite time95 cited
1977A class of approximations of ruin probabilities90 cited
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1986An Asymptotic Analysis of a Queueing System with Markov-Modulated Arrivals70 cited
1981Queues with non-stationary input stream: Ross's conjecture66 cited
1990The semi-markovian queue: theory and applications63 cited
1977Limit theorems for periodic queues54 cited
1986The Queue M|G|1 with Markov Modulated Arrivals and Services53 cited
1989Queues with nonstationary inputs53 cited

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1991Ladder heights and the Markov-modulated M/G/1 queue52 cited

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1994Large claims approximations for risk processes in a Markovian environment56 cited
1994Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality51 cited
2004On the Distribution of the Deficit at Ruin when Claims are Phase-type49 cited
2006Dependence properties and bounds for ruin probabilities in multivariate compound risk models48 cited
2005Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models47 cited
2009Moment generating functions of compound renewal sums with discounted claims44 cited
2001Calculation of the Steady State Waiting Time Distribution in GI/PH/c and MAP/PH/c Queues39 cited
1998An Operational Calculus for Matrix-Exponential Distributions, with Applications to a Brownian (q, Q) Inventory Model26 cited
2008STOCHASTIC MORTALITY MODELLING22 cited