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Risk theory in a Markovian environment
5 references·16 citing·43 second hop
Risk theory in a Markovian environment (1989)Risk theory in a Markovian environmentStructured Stochastic Matrices of M/G/1 Type and Their Applications. (1991)Structured Stochastic Matrice…Applied Probability and Queues (1987)Applied Probability and QueuesMatrix-geometric solutions in stochastic models (1985)Matrix-geometric solutions in…Matrix-Geometric Solutions to Stochastic Models (1984)Matrix-Geometric Solutions to…An Empirical Investigation of the Transient Behavior of Stationary Queueing Systems (1983)An Empirical Investigation of…Optimal dividend distribution under Markov regime switching (2012)Optimal dividend distribution…Classical and singular stochastic control for the optimal dividend policy when there is regime switching (2011)Classical and singular stocha…Strategies for Dividend Distribution: A Review (2009)Strategies for Dividend Distr…Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Chapter 11 Rare-Event Simulat…On the probability of ruin in a Markov-modulated risk model (2005)On the probability of ruin in…Importance Sampling, Large Deviations, and Differential Games (2004)Importance Sampling, Large De…SPRT and CUSUM in hidden Markov models (2003)SPRT and CUSUM in hidden Mark…Decompounding: an estimation problem for Poisson random sums (2003)Decompounding: an estimation …On a correlated aggregate claims model with Poisson and Erlang risk processes (2002)On a correlated aggregate cla…Erlangian Approximations for Finite-Horizon Ruin Probabilities (2002)Erlangian Approximations for …Ruin probabilities for time-correlated claims in the compound binomial model (2001)Ruin probabilities for time-c…Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion (1995)Cramér-Lundberg approximation…Exponential bounds for queues with Markovian arrivals (1994)Exponential bounds for queues…Statistical optimization of dynamic importance sampling parameters for efficient simulation of communication networks (1993)Statistical optimization of d…Phase-Type Representations in Random Walk and Queueing Problems (1992)Phase-Type Representations in…Computational methods in risk theory: A matrix-algorithmic approach (1992)Computational methods in risk…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modelling of extremal events in insurance and finance (1994)Monte Carlo Methods in Financial Engineering (2003)Efficient rare-event simulation for the maximum of heavy-tailed random walks (2008)Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation (2008)Asymptotic robustness of estimators in rare-event simulation (2010)Queues, Inventories and Maintenance. 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this work references cited by second hop

References

  • 1987Applied Probability and Queues2,704 cited
  • 1984Matrix-Geometric Solutions to Stochastic Models1,706 cited
  • 1991Structured Stochastic Matrices of M/G/1 Type and Their Applications.996 cited
  • 1985Matrix-geometric solutions in stochastic models871 cited
  • 1983An Empirical Investigation of the Transient Behavior of Stationary Queueing Systems128 cited

Cited by

  • 2009Strategies for Dividend Distribution: A Review207 cited
  • 2006Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances180 cited
  • 2004Importance Sampling, Large Deviations, and Differential Games147 cited
  • 2002Erlangian Approximations for Finite-Horizon Ruin Probabilities123 cited
  • 2001Ruin probabilities for time-correlated claims in the compound binomial model113 cited
  • 2003SPRT and CUSUM in hidden Markov models103 cited
  • 1994Exponential bounds for queues with Markovian arrivals93 cited
  • 1993Statistical optimization of dynamic importance sampling parameters for efficient simulation of communication networks90 cited
  • 2012Optimal dividend distribution under Markov regime switching88 cited
  • 1992Computational methods in risk theory: A matrix-algorithmic approach

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86 cited
  • 1992Phase-Type Representations in Random Walk and Queueing Problems84 cited
  • 2002On a correlated aggregate claims model with Poisson and Erlang risk processes84 cited
  • 2003Decompounding: an estimation problem for Poisson random sums75 cited
  • 1995Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion69 cited
  • 2005On the probability of ruin in a Markov-modulated risk model61 cited
  • 2011Classical and singular stochastic control for the optimal dividend policy when there is regime switching58 cited