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

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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.

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Authors and Affiliations

  1. Department of Statistics, The University of Seoul, Seoul, 130-743, South Korea

    Soohan Ahn

  2. Department of Statistics, University of Toronto, 100 St. George Street, Toronto, ON, M5S 3G3, Canada

    Andrei L. Badescu

  3. AT&T Labs-Research, 180 Park Avenue, Florham Park, NJ, 07932, USA

    V. Ramaswami

Authors
  1. Soohan Ahn
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  2. Andrei L. Badescu
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  3. V. Ramaswami
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Correspondence to V. Ramaswami.

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Ahn, S., Badescu, A.L. & Ramaswami, V. Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier. Queueing Syst 55, 207–222 (2007). https://doi.org/10.1007/s11134-007-9017-x

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  • DOI: https://doi.org/10.1007/s11134-007-9017-x

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