Limit Theorems And Approximations With Applications To Insurance Risk And Queueing Theory
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Limit Theorems And Approximations With Applications To Insurance Risk And Queueing Theory
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Author : Jose H. Blanchet
language : en
Publisher:
Release Date : 2004
Limit Theorems And Approximations With Applications To Insurance Risk And Queueing Theory written by Jose H. Blanchet and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
A Probability Limit Theorem With Application To A Generalisation Of Queueing Theory
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Author : P. D. Finch
language : en
Publisher:
Release Date : 1959
A Probability Limit Theorem With Application To A Generalisation Of Queueing Theory written by P. D. Finch and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1959 with categories.
On The Mathematical Theory Of Risk
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Author : Harald Cramér
language : en
Publisher:
Release Date : 1959
On The Mathematical Theory Of Risk written by Harald Cramér and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1959 with Insurance categories.
Stochastic Processes
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Author : Alexander Zeifman
language : en
Publisher: MDPI
Release Date : 2019-12-12
Stochastic Processes written by Alexander Zeifman and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-12-12 with Mathematics categories.
The aim of this special issue is to publish original research papers that cover recent advances in the theory and application of stochastic processes. There is especial focus on applications of stochastic processes as models of dynamic phenomena in various research areas, such as queuing theory, physics, biology, economics, medicine, reliability theory, and financial mathematics. Potential topics include, but are not limited to: Markov chains and processes; large deviations and limit theorems; random motions; stochastic biological model; reliability, availability, maintenance, inspection; queueing models; queueing network models; computational methods for stochastic models; applications to risk theory, insurance and mathematical finance.
Functional Limit Theorems For Non Stationary Stochastic Systems
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Author : Yuhang Zhou
language : en
Publisher:
Release Date : 2018
Functional Limit Theorems For Non Stationary Stochastic Systems written by Yuhang Zhou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Modern service systems, such as call centers and health care systems, are typically of large scale and have non-stationary data, including customer arrival rates, service times and staffing. A better understanding of such service systems will help improving system efficiency, optimizing system managements, and reducing costs. However, exact analysis is hard because of the non-stationarity, randomness and large-scale of such systems. Stochastic models in the heavy-traffic regime turn out to be useful to obtain approximations and provide insights for operational managements. My primary work in this dissertation is to study stochastic models with non-stationarity and to establish associated functional limit theorems.I have established a novel and powerful framework for proving functional limit theorems for two-parameter processes describing the system dynamics of non-stationary non-Markovian queueing models. In particular, I have studied i) infinite- server queues with non-stationary arrival and service times (arrival dependent services), ii) infinite-server queues with non-stationary arrival and weakly dependent general service times, and iii) non-Markovian many-server queues with non-stationary arrival and service times.I have also studied a new class of non-stationary shot noise models where the distribution of each shot noise depends on the shot time. Shot noise processes have been extensively studied, and have many applications in physics, insurance risk theory, telecommunications, and service systems. In particular, they include the infinite-server queueing models as special cases. My work weakens the i.i.d. assumption on shot noises in the existing literature and thus provides more flexibilities for modeling non-stationary shot noise phenomena.Non-stationary stochastic models usually suffer from mathematical intractability. The main theoretical difficulty is the lack of appropriate maximal inequalities for general stochastic processes. I have developed maximal inequalities for two-parameter stochastic processes via the chaining method. In addition, sample path properties for Gaussian processes and classical criteria for weak convergence of stochastic processes have been generalized to broader settings.
Diffusion Approximations In Collective Risk Theory
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Author : Stanford University. Applied Mathematics and Statistics Laboratory
language : en
Publisher:
Release Date : 1968
Diffusion Approximations In Collective Risk Theory written by Stanford University. Applied Mathematics and Statistics Laboratory and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1968 with categories.
Collective risk theory is concerned with the random fluctuations of the total assets of an insurance company. The company has an initial capital u and policyholders pay a gross risk premium of a per unit time. At the jumps of a renewal process claims are made against the company for random amounts with the average claim being mu. A sequence of risk reserve processes which measure the companies assets at time t are defined and the theory of weak convergence of probability measures on function spaces is applied to show that the sequence converges weakly to a limiting diffusion process. This diffusion is Brownian motion with a drift. Weak convergence theory also yields a limit theorem for the distribution of time to ruin. The density for this limit distribution is given explicitly. (Author).
Recent Developments In Stochastic Methods And Applications
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Author : Albert N. Shiryaev
language : en
Publisher: Springer Nature
Release Date : 2021-08-02
Recent Developments In Stochastic Methods And Applications written by Albert N. Shiryaev and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-02 with Mathematics categories.
Highlighting the latest advances in stochastic analysis and its applications, this volume collects carefully selected and peer-reviewed papers from the 5th International Conference on Stochastic Methods (ICSM-5), held in Moscow, Russia, November 23-27, 2020. The contributions deal with diverse topics such as stochastic analysis, stochastic methods in computer science, analytical modeling, asymptotic methods and limit theorems, Markov processes, martingales, insurance and financial mathematics, queueing theory and stochastic networks, reliability theory, risk analysis, statistical methods and applications, machine learning and data analysis. The 29 articles in this volume are a representative sample of the 87 high-quality papers accepted and presented during the conference. The aim of the ICSM-5 conference is to promote the collaboration of researchers from Russia and all over the world, and to contribute to the development of the field of stochastic analysis and applications of stochastic models.
Dissertation Abstracts International
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Author :
language : en
Publisher:
Release Date : 2006
Dissertation Abstracts International written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Dissertations, Academic categories.
Non Asymptotic Analysis Of Approximations For Multivariate Statistics
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Author : Yasunori Fujikoshi
language : en
Publisher: Springer Nature
Release Date : 2020-06-28
Non Asymptotic Analysis Of Approximations For Multivariate Statistics written by Yasunori Fujikoshi and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-28 with Mathematics categories.
This book presents recent non-asymptotic results for approximations in multivariate statistical analysis. The book is unique in its focus on results with the correct error structure for all the parameters involved. Firstly, it discusses the computable error bounds on correlation coefficients, MANOVA tests and discriminant functions studied in recent papers. It then introduces new areas of research in high-dimensional approximations for bootstrap procedures, Cornish–Fisher expansions, power-divergence statistics and approximations of statistics based on observations with random sample size. Lastly, it proposes a general approach for the construction of non-asymptotic bounds, providing relevant examples for several complicated statistics. It is a valuable resource for researchers with a basic understanding of multivariate statistics.
Limit Theorems For Randomly Stopped Stochastic Processes
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Author : Dmitrii S. Silvestrov
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Limit Theorems For Randomly Stopped Stochastic Processes written by Dmitrii S. Silvestrov and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
This volume is the first to present a state-of-the-art overview of this field, with many results published for the first time. It covers the general conditions as well as the basic applications of the theory, and it covers and demystifies the vast and technically demanding Russian literature in detail. Its coverage is thorough, streamlined and arranged according to difficulty.