Matrix‐analytic Models and their Analysis

By Søren Asmussen. 2000

99 citations recorded by the source corpus.

Subfields: Management Information Systems, Transportation

View Paper: https://www.semanticscholar.org/paper/e8433af61b80ae4616e86acddee81d0e3478a63a

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Citations in the corpus

A ruin model with dependence between claim sizes and claim intervals (2004, unknown): “discussed in Asmussen [3]).”
Bayesian analysis of single‐molecule experimental data (2005, methodology): “The model that is described in Section 2 is a Markov modulated Poisson process, and there has been much work on fitting these models; see for example Asmussen (2000) and references therein.”
The estimation of phase-type related functionals using Markov chain Monte Carlo methods (2003, methodology): “Then the (infinite horizon) ruin probability is given by (see Asmussen (2000b), Proposition 4.4) (C)= +e (T+t +)Ce, where + = lim n +(n) and + (n)= 0 e (T+ t + (n−1))y eSys dy.”
TVaR-based capital allocation with copulas (2009, unknown): “Other closed form expressions for the CTE of the sum of multivariate phase-type distributed risks and the contribution of one risk to the portfolio have been given in Cai and Li (2005). More recently, Chiragiev and Landsman (2007) found a CTE and CTE-based allocation for multivariate Pareto risks.”
Russian and American put options under exponential phase-type Lévy models (2004, methodology): “In this section, we study a certain class of regime-switching Lévy processes following an approach based on embedding first the Lévy model into a continuous regime switching Brownian motion, as proposed in [3] (see also [5], [6]).”
Markovian arrivals in stochastic modelling: a survey and some new results (2010, background): “An excellent summary of closure propeties can be found in Asmussen (2000), Latouche and Ramaswami (1999, Section 2.6) and Neuts (1981, Chapter 2).”