Search
Search Results
-
Exact Results and Bounds for the Joint Tail and Moments of the Recurrence Times in a Renewal Process
The best known result about the joint distribution of the backward and forward recurrence times in a renewal process concerns the asymptotic behavior...
-
Moments of the Forward Recurrence Time in a Renewal Process
The forward recurrence time (also known as residual or excess lifetime) is one of the key quantities in renewal theory. The study of the variability...
-
Fluctuation Analysis in Parallel Queues with Hysteretic Control
We study an enhanced hysteretic control system, with primary and secondary queues and random batch service. When the primary queue down-crosses r ,...
-
A method for computing the autocovariance of renewal processes
In this paper we derive formulae for the autocovariance functions of renewal and renewal reward processes. The derivation is based on a...
-
Quasi-Stationary Asymptotics for Perturbed Semi-Markov Processes in Discrete Time
We consider a discrete time semi-Markov process where the characteristics defining the process depend on a small perturbation parameter. It is...
-
Exit Times, Overshoot and Undershoot for a Surplus Process in the Presence of an Upper Barrier
We study the movement of a surplus process with initial capital u in the presence of two barriers: a lower barrier at zero and an upper barrier at b (
-
On the Integrated Tail of the Deficit in the Renewal Risk Model
Let G ( x , y ) be the distribution of the deficit at the time of ruin in the renewal risk model. In this paper, we derive a geometric convolution...
-
The Perturbed Sparre Andersen Model with Interest and a Threshold Dividend Strategy
In this paper, we consider a Sparre Andersen model perturbed by diffusion (in which the inter-claim times are generalized Erlang(n)-distributed) with...
-
Chord-length distribution functions and Rice formulae. Application to random media
We consider a stationary and isotropic bi-phasic (pore and solid) medium, draw many lines through it, and see each line as a one-dimensional...
-
Asymptotics for the Moments of the Time to Ruin for the Compound Poisson Model Perturbed by Diffusion
We obtain the asymptotic behaviour of the k -th moment of the time to ruin in the classical risk model perturbed by diffusion for the case where the...
-
Constant Dividend Barrier in a Risk Model with a Generalized Farlie-Gumbel-Morgenstern Copula
In this paper, we consider the classical surplus process with a constant dividend barrier and a dependence structure between the claim amounts and...
-
The Perturbed Compound Poisson Risk Process with Investment and Debit Interest
In this paper, we study absolute ruin questions for the perturbed compound Poisson risk process with investment and debit interests by the expected...
-
Lundberg-type Bounds and Asymptotics for the Moments of the Time to Ruin
We obtain analogues of Lundberg’s inequality and the Cramér—Lundberg asymptotic relationship for the k -th moment of the time to ruin in the classical...
-
Bounds of moment generating functions of some life distributions
In this article we show that if a life has new better than used in expectation (NBUE) ageing property and if the mean life is finite then the moment...
-
A two-step sequential procedure for detecting an epidemic change
The typical approach in change-point theory is to perform the statistical analysis based on a sample of fixed size. Alternatively, and this is our...
-
Invariance Principles for Paced Record Times and Applications
Let {Y n :n≥0} be a sequence of independent and identically distributed random variables with continuous distribution function, and let {N(t):t≥0} be a...