Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier

Soohan Ahn, Andrei L. Badescu, V. Ramaswami

Research output: Contribution to journalArticlepeer-review

58 Scopus citations

Abstract

Based on the matrix-analytic approach to fluid flows initiated by Ramaswami, we develop an efficient time dependent analysis for a general Markov modulated fluid flow model with a finite buffer and an arbitrary initial fluid level at time 0. We also apply this to an insurance risk model with a dividend barrier and a general Markovian arrival process of claims with possible dependencies in successive inter-claim intervals and in claim sizes. We demonstrate the implementability and accuracy of our algorithms through a set of numerical examples that could also serve as test cases for comparing other solution approaches.

Original languageEnglish
Pages (from-to)207-222
Number of pages16
JournalQueueing Systems
Volume55
Issue number4
DOIs
StatePublished - Apr 2007

Keywords

  • Dividend barrier
  • Finite buffer
  • Fluid flow
  • Insurance risk
  • Transient analysis

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